Okay. Paste the following into Notepad:
<a href="http://www.cyclops.it/Smallville/trailers/trl320.wmv">Right-Click This!</a>
Then, save the file as File1.html (or whatever, just make sure it is .html).
Open the file, right-click "Right-Click This!" and click "Save file as..." or "Save location as..." or whatever it is. Choose where to save it.
I did this one by opening the file in Windows Media Player, right-clicking it and clicking properties. This gave me the address. I made up a simple html file to link to it. If you want to get the rest of the trailers from that particular site, open them in Windows Media Player and get the address like I said before. Then paste the address where it says "http://www.cyclops.it/Smallville/trailers/trl320.wmv" in the notepad document and follow the same steps ou used for Talisman.
Cheers!