Try it again, and tell it to open with Real Player. If it doesn't show up in the list of programs, you have to click on "Other." You'll get Windows Explorer to pop up. Look for the program in:

C:
Program Files
Real
Real Player
realplay

Make sure the little box that says "Always use this program to open this file" has a check mark in it, or you'll have to go throught this process every time you click on it. (On the opposite side of the coin, make sure the box is NOT checked if you're ever not sure you're selecting the right program.)