leenia, assuming you're using some version of Windows and Internet Explorer as your browser, when you find a MIDI you want to save, right click on it, rather than left click. This should open up a menu box with the choice "Save Target as" being one of them. Click on that and you should be able to save the file, use it in NWC, etc.

You can also break the association between Media Player and MIDI files by clicking on any folder icon to open Windows Explorer. Then click on "View, Folder Options" and choose the "File Types" tab. Scroll down to find the program associated with MIDI files and remove it. If you're in the habit of opening NWC and importing the MIDI, you need do nothing else. Otherwise you can define NWC as the program used to play MIDI's.