I just checked my IE...and it looks as if I have that option under the "Tools" as you stated. Hmmm... The only additional info I can provide you is that it's the Windows Media Player.
Good Luck!
I know this sounds dumb. But I am trying to set up a download rather than a streaming product. Instructions say to go to the media bar.
I checked MS Help to find how to get to the media bar. They say use View >Explorer Bar >Media. Only Media isn't there.
Or they say use the Media button on the toolbar. It isn't there.
Is it possible I have deleted the media bar - or do I need to load it specially?
I have IE 6 and XP.
Thanks for your help.

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