Go to Tools > Options > Content tab > File Types and click the Manage button. Click the Extension column header to re-order the list alphabetically, then scroll down to MP4 (or just use the search box and type MP4), highlight the entry and click the Change Action button. It's probably set to '
Use this plugin: QT'. Change it to '
Save them on my computer' and click OK to complete.
This is for Firefox 2, so it might be slightly different if you're using the newer version.