Why can't I stream mp4 files in Windows?

Episode 1623 (2:01:50)

Don from Montana, CA
MP4 File

Don wants to know why he has to download MP4 files in Windows 10 before playing them. Why can't he just stream them? He can just play them on his phone. Leo says it may be a setting in Windows. It may be due to file size. Leo says that downloading any attachments is inherently dangerous. Leo suggests never opening or clicking on an attachment.