Actually I've realised that I have not used the hyperlink button but the action settings and told it to run program Media player and the movie file. That's why the normal hyperlink box doesn't come up, it's bringing up the action setting box instead which doesn't have the option to edit the screen tip. I did it this way because I wanted to specify that the Windows Media Player played full screen and it doesn't put the annoying security message up after you have played the clip once.
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