Firefox behaviour with media links

I wish Firefox 3.6.* would stop ignoring my settings in the Applications 
area of the Options/Preferences for some media types on some sites. At 
this page, when I click a link, with Windows, I get the Quicktime plugin 
playing the media files in spite of setting .asx to use VLC.
http://www.nasa.gov/multimedia/nasatv/index.html
With Mac OS, I set .asx and .asf to ask me first and I set up VLC as a 
possibility as well as Quicktime with the Flip4Mac codecs. Firefox does 
not ask first. It just opens the file with Quicktime as an external 
application. It should be noted that the links are indirect links. Does 
anybody have any idea why that makes a difference?

With Windows, I use Proxomitron with a filter which makes it possible to 
use a direct link to the .asx file. If I use that direct link, as 
expected, VLC does open the file and play it (externally, not with the 
plugin).