ASX files will not open if accessed via IE 11

We are publishing ASX files on our internal web site, with references to WMV files on the streaming server.

<asx version = "3.0">
  <entry>
    <ref href = "mms://intranet/new-user/manual.wmv"/>
  <Title>New User Manual </Title>
  <Author></Author>
  <Copyright></Copyright>
  <Banner></Banner>
  </entry>
  <Title>New User Manual</Title>
  <Author></Author>
  <Copyright></Copyright>
  <Banner></Banner>
  <LogURL href = ""/>
</asx>

Whenever user clicks on the link to the ASX file from Windows XP (IE8) or Windows 7  (IE11) they automatically get the wmv stream delivered to their Windows Media Player. If a Windows 8.1 user with IE11 clicks on the same ASX link, WMP does not open up, instead they get prompted to save (open is grayed out) ASX file to their computer. Once ASX file is saved they can double click on it and WMP would play the stream. Is there a way to allow ASX files to open without getting them downloaded first?

Thanks