I have no problem adding file to my site,but...
If I Upload a .zip file, the user is prompted for saving or opening, while if it is a video file (.wmv,.avi,etc), the installed player is automatically opened without prompting for saving before.
Is there any way to force the browser to always download the file or prompt for downloading instead of instantly opening it???

I assume you are linking to the file, and not embedding the file as a Foreign Object.

One way is to stipulate that the visitor should 'right-click' the link. That way they can choose to 'save as'.