Firefox

I am sick and tired of IE. I have nothing but virus problems with it.
I downloaded Firefox which is alot faster than IE and seems to have better security feature.

The one thing I dont understand is when I go to look a a media file through
media player the program first has to download before you can view it.
With IE it plays immediately.

Does anyone know how to fix this.

I asked this same question on the firefox support section but never rec'd a response.

Thanks for your help

Lion