A lot of developers and webmasters will use intentional type mismatch to prevent harvesting. Meaning, they will show you a picture but instead of using .gif .jpg .png they will put .html knowing that the browser engine will render it no matter what its called (its checking the file header and knows it can render it) but to a harvester it will result in a garbage text file. Common among porn sites for example or those trying to protect their content. This applies to videos as well, sometimes you use a server side command, which what an SHTML file is actually, to render the content using server side code but on the user side it is interpreted or seen as something else. If you were to properly track back to the original resource you would get it but no guarantee that it can be done always. Just check out some of the ad links on NoScript.net and Flashgot.net, you see them but they are coming from a link that you can't decode back to original resource, get it? So as suggested by others, provide a link, we can take a look and see what the actual case may be in this case, but in the meantime figured some back information might be helpful.
Oh forgot to also mention that it might not be any of what I mentioned above either, although still valid techniques, it might just simply be that you are viewing say an image or video on a page and it looks like its all by itself right, but its not the actual resource, its wrapped in a simple html. Say something like this:
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<html>
<head>xyz.png</head>
<body>
<img src=/xyz.png>
</body>
</html>
With this all you see is the picture and you think, oh I download this and I get the image, but in actuality you are seeing the image but you are getting the html file. Using SHTML and a server side code, you can automate those header names and src links to automate to imitate the facade of you are on actual image while wrapping it in an html. So the in that case, you need to click on the image and do, view image, so then you have an actual direct link to it, then you download all, you will get the actual image, not the wrapper html. Make sense? Also, I used images as an example but this can apply to ANY resource really, just minor tweaks, like using embed instead of img src.