If you are providing a link to a standard (Window multimedia) player, like AVI, MPEG, MPG, etc., once the file is in the computer's player, the visitor can save it. To allow viewing but not saving, you would have to use a Java applet that downloads, plays the file, then kills itself.
Stewart Gordon -- I hate this misuse of the word "download"! OK, so the second sentence of the answer is OK, but it doesn't answer the question as it is written. As every knowledgeable knows, in order to view or play any kind of media off the Internet, it's necessary to download it. If it's not on the user's machine, the machine can't view it.