On further investigation this only happens (for me) with IE  in windows, and only happens when there is a video preview/still pushed from youtube in flash. I'm using the Webgalli videos plugin V1.5.

Then it's most likely just the video player flash executable (swf file) that's not correctly handled by IE. Instead of executing it it's handled as downloadable file. Do you have the flash plugin installed in IE? If yes, the problem is likely caused by the way the video is embedded in the page by the Videos plugin (oftenly IE needs such kind of things handled differently than any other browser). If the flash plugin is not installed in IE, install it and try again.

Yes that works. I'm not a windows users but I installed the flash player in IE in my parallels test OS and that fixes the problem. Thanks!!!