Does the file URL provided by the "Download" text link in your Documents module include the querystring "forcedownload=true"?  When using the forcedownload option DNN changes the actual mimetype info streamed to the user's browser so the browser won't recognize it as a registered mimetype and attempt to open the file.

Also check the document settings (for each individual movie file entry) to see if you've set "open in a new browser window" option.  If so, try unchecking this option.

-mamlin

Ok, a few notes regarding the DOCUMENTS module:

• To have the "force download" option appear, you must link to a locally-stored document.  The document link type setting for a document should be "File" rather than "URL".
   
• Under Document Module Settings, you should have "Download link" enabled under the "Display Columns" section (it should be enabled by default).  This is the column that will provide a text link titled "Download" with a URL ending with querystring value "&forcedownload=true".
   
• There is a module option "Use title link".  This makes the document title a clickable link to the document.  This link will not have the "force download" option added to it.  Only use this option if you want users to have the option of auto-opening (for registered mimetypes) the linked file.
   

Your resulting document link URLs should be a link to page "LinkClick.aspx" followed with querystring values for "Fileticket" and "Forcedownload".
 
-mamlin