I have no idea what you're trying to say but from what I gather you have two problems.
1)You're opening videos from the net INSIDE Internet Explorer
2)The default player for your downloaded videos isn't the one you want it to be.
Remedies
1)When you see a link to a video you want to download right-click on it and select "Save Target As..." and then choose where you would like to save the video on your Hard-Drive.
2)When you go to open a video on your computer right-click on the file and select "Open With..." a little window will open, click "Choose Program", a list of programs currently installed on your PC, choose the media player from this list that you wish to view the video with. Then click the check-box which says "Always use this program to open these files."
Hopefully that helps.