Supposed to be like that, because they are media items if you look at the URL it is a reference and no file extension so the browser does not handle it. This then allows a straight download and thus can record the stats for the download.
This is itended and wanted feature because in cases of media downloads you want them to do just that, download the item not view it in the browser
Thanks Liam...I thought it might have something to do with the extension. And great point about the downloading vs. viewing...I'll try that reasoning with my client
If it comes to the streaming options you see that will keep the file extension so you can create something like a playable podcast.