Whenever I click on a link to a media file(as well as a few others), it just goes to open automatically and uses the default player for the file, rather than open the normal download box with the open/save/cancel. Is there a way to change this?

Right click link, 'save as'.

That's the point, I don't want to have to do that every time :P

I'm pretty sure you can do that. I'd look into the EditFlags value for the type in question. I think there is a bit there to have it ask you whether to save or open the file.

Folder Options -> File Types -> (the type you're caring about) -> Advanced -> Confirm open after download

That took a while but was worth it :P

Thank you, Yoni.