Some files have corrupt headers which is why you get the ? (I found this was the case with top gear, however if you use method two to download the file it will open in VLC.). Hopefully it's just a one off as I haven't had an issue with anything else. Method 2 also returns your mac back to normal (e.g. no high fans etc.) luckily I am on a 10MB connection so it only takes a few minutes to download the files for me.
Someone has created a script to get do most of the dirty work in method two (
http://hublog.hubmed.org/archives/001632.html ). If you do it in firefox then it will download the file, in safari you will have to still go in activity monitor and alt double click on the file to force download.