When ever I download mpegs or some avi files they appear on my desktop with a wav icon and then I get an error message when I try to play them. Any ideas?

Sounds like you have the same problem I do. I've asked Apple about it, but no response...
Seems many people are having trouble like this, but here goes:

When opening an MPEG movie in IE, (I have QT 4 pro), I get the "The attempt to load <URL of movie> failed" error.

If I drag the link to the desktop, it saves the file as a quicktime creator, but as a wav file type (wav appears in the icon).

I can use FileTyper to change the file to MPEG type and creator TVOD so MoviePlayer will handle it just fine, but that is a pain. I've checked my file helpers and all looks fine - .mpg is type MPEG and creator is TVOD, binary data and handled with plugin...

I can't be sure, but all of this may have happened after I installed RealPlayer then realized how much it bites and removed it...

- A.

Like Halifax, I also receive the 'xxxxx failed to download' message when attempting to view mpeg's in IE 4.5 using the QT 4 plug-in. However, if I change my helper applications in preferences to use the QT Player in 'How to Handle' instead of the QT plug-in, the file actually downloads and presents itself in the player window for viewing. Netscape does not have this problem using the plug-in. I believe this plug-in mpeg 'glitch' happened after I upgraded to OE 5.0 from 4.5 or OS 9 from OS 8.5.1. OE 5.0 introduced some new shared libraries that may be the cause of this problem.

Michael