Hyperlink and Video Help

For the life of me, I cannot get my site to hyperlink properly. I feel like I have everything set up right, but some links don't work. Even when certain links are configured the EXACT same way. These links do involve video, so basically I have two questions regarding my problem. I am hosting my site on godaddy.

Here it goes. I have a page of thumbnails. What I want to do is have each of these thumbnails play a video when clicked. I am linking each thumbnail to "a file" (this may be wrong for what I want to do, but I'll get to that in a minute). I have done this for every thumbnail. 10 total. When I publish my site and view it. 2 are working, and the rest are not. Which is odd because, from what I can see, they are all configured the same way.

Now, the two that do work, download the video instead of play it. Now that I type this, I am realizing that I probabaly need to link it to a different page or something. Do I need to create that as well? I wouldn't want it to be on the sidebar, just opened to a new page where the video just plays.

So basically I'm trying to figure out why some links are working and some aren't, and what I would need to do to have a new "video" window open and play the the file.

The whole hyperlinking issue is really boggling my mind. Is this common with iWeb? It seems so straight forward, but just plain isn't working for me. I hope I'm just missing something here.

Thanks in advance.