You should be able to set your preferences in your browsers uhmn, Preferences.
What browser are you using, anyway?
I just went to the link in FF 2.0.0.4 and I didn't get any 'choice' display, it simply opened a small window and played the video. There
was a 'Preference' link on that window, I have RealPlayer selected. Still, FF gives one the option of assigning most any file type to be displayed/shown/played/presented with almost any plug-in/app of your choice. It's in the FF->Preferences->Content->File Types ( click the "Manage" button ). Your version and browser could be quite different.