it's because the mp3's are associated to your media windows player.
What I do is always right click and save as...
You could reassociate the mp3's to , let's say your winamp, depending on your windows version there's different ways to accomplish this.
try this one, find a mp3 on your hard drive, right clik on it while holding down the shift key. You should see an option that reads Open with...
click that option it's gonna open you a new windows, now pick winamp on the list and be sure to click on the option "always use this program....."
that may do the trick.
Otherwise you may have to go in the folder options and file types. Then you can associate a program with .mp3 files.