MP3s from FTP defaulting to play in IE instead of Windows Media

For work, I grab MP3s via an FTP. These audio files used to default to playing in Windows Media Player (preferred) but one day they began playing in Internet Explorer and for whatever reason there's NO way to play the file in WMP. I've tried dragging, changing the default application, etc.

Not sure if this is related but when I try to drag the MP3 file from the FTP folder to my desktop, an error pops up about how I do not have security permissions? Along those lines.

Any of this make sense?

Thank you!