What has happend is this:

You've installed WinAmp at some point (which is an MP3 PLAYER and expects to find complete files - hence "save file" requirement for an internet file"). WinAmp will associate itself with known filetypes so that it becomes the default application (which is why the MP3 file as identified as a WinAmp file"

RealPlayer on the other hand is designed to process streamimg audio/video (as provided on the internet). Therefore it does not expect the entire file to arrive, it just expects a stream of data of the correct format. Therefore RealPlayer has no need to download or save the entire file. It also will associate itself with known filetypes so that it becomes the default application (so now MP3 files may be called RealPlayer files).

Hope this makes some sense!!