When i click a link on internet Explorer try to download it pop out security alert !! Your current security settings do not allow this file to be downloaded.

and how do i prevent the media player is play on IE?

like mpeg4,wma and etc.

It use the bandwidth too much!!

What version of IE are you using?

When i click a link on internet Explorer try to download it pop out security alert !! Your current security settings do not allow this file to be downloaded.

Tools / Internet Options / Security tab; select applicable security zone (probably "Internet") and click "Default level" under "Security level for this zone". Repeat for other/all zones if necessary.