starting playback while video file is still downloading

Any suggestion for the following problem?

I use a USB stick with Ceedo. It is a great application making it possible to run even non-portable apps on your drive. It works great!

However, I am still unable to get a media player with which I can view a video file from the browser. I mean, when I use Internet Explorer and click on a link to an .avi file, Windows Media Player pops up and starts playback.

But when I use Ceedo, when I click on the same link, a window pops up, stating that the file are being saved into a temporary folder, so I have to wait until it is fully downloaded. (I have tried Media Player Classic, VLC, KMPlayer -- same results.) I would prefer starting the playback while the file is being downloaded.

Is this a special feature of Windows Media Player; or it is a feature of almost any media player but it's needed to do some tweaking in Windows XP?

Can you suggest me _any_ media player capable of starting the playback of a video file while it is still downloading?

Thanks in advance,
Arpad Orfi