.wmv files won't download

I use yahoo email. I received an email with a .wmv attached. When I click to download an error message pops up in the wmv player (v9) window, which automatically launches, with either the words 'error occured' or 'the playlist format is not recognized'. I can't even save the .wmv file to my hard drive to play with another player. What can I do? Can I get wmv player to not launch? I just want to get the file to my hard drive.