Its an .FLV file, its a newer type of media file for videos on the internet. easy to compress lots of data. .MPG or .MP3 are examples of other types of media files. You can download any FLV player you like (A handy thing to do none-the-less because this file type is becoming more popular it seems) to see it.
There is a trustworthy site where you can download an FLV player that also plays MP4 videos as well.
And as the original movie link is a direct link to the video file, you can either save it (only like 5 megs) onto your hard drive to view, or 'open with' and select your flv media player.