What you should do is when it opens up your WMP, let it play completely. Then, open up Internet Explorer and hit Tools > Internet Options > under the General Tab and in the "Browsing History" section, hit "Settings" > View Files.
Then, look for a sign of the file you want. (An easy way would be to clear your temporary internet files first, then play the video so it should be the only .wmv in there)
Tell me if this helps at all.
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