try this

The problem is due to the url is imcomplete since the mixture of Chinese characters. Several ways for that:
1. Copy the entire link, such as"http://lb.avl.com.cn/avload/free3.jsp?mf=/vod1/cinema/jhd/031103/新精武門1991(1).wmv" into google search engine. Search it. Even if google fails to recognize this address, it will give you the chance to try the link directly, which recognizes everthing including chinese perfectly.
Sorry, no information is available for the URL lb.avl.com.cn/avload/free3.jsp?mf=/vod1/cinema/jhd/031103/新精武門1991(1).wmv

for example, it will show:
If the URL is valid, try visiting that web page by clicking on the following link: lb.avl.com.cn/avload/free3.jsp?mf=/vod1/cinema/jhd/031103/新精武門1991(1).wmv
Find web pages that contain the term "lb.avl.com.cn/avload/free3.jsp?mf=/vod1/cinema/jhd/031103/新精武門1991(1).wmv"

So that you can right click the first provided adress, and save it as anything and put it anywhere you want.

2. copy the entire link into your own word file, establish a hyperlink by yourself with the correct url address. save it as html file. open it in IE and do everything necessary for download.

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