Media files aimed at one particular type of media player (often Windows Media Player) can be a nuisance if you cannot or do not wish to install that player. What often happens when you click those links is that a small file is downloaded to your system, as a preparation for the body of the media file to come through. After this, the process stops.
However, I discovered it is worth the effort to examine that small file with a hex-editor (such as HexEdit). Very often, the file contains the URL of the server that offers the (streaming) media file. Once you have obtained that information, most media players allow you to type in that URL and view the desired content after all -- not automatically, but with an acceptable amount of extra work.
I found it worked with a .vxw file containing an URL to an .wmv file, which I was able to play in Mplayer for OSX.
Mac OS X Hints
http://hints.macworld.com/article.php?story=2004100504390826