Jedi> The MOV file is the Quicktime file, it's a quicktime movie file. The ZIP file that you would normally download just has the MOV file zipped in it. When you go to the link, don't left-click on it, right-click on the link, and select the "Save Target As.." option.. then you can choose where to save the MOV to your computer.
http://progressive.warnerbros.com/thematrix/us/med/tv_give_anything640_dl.mov
Believe me, it's all the same, I've been doing this kinda stuff for awhile.