The best way to do open these .unk files is to permanently associate the file extension with windows media player on windows. After a file has downloaded, double-click on it, if your computer does not recognize the file, a window should pop open prompting you what to do. Select the option where it says choose a program, in windows XP, you will get a list of most common programs including windows media player. Select it and then another windows pops up which will prompt you to make it permanent, select it and you should be good to go. In older versions of windows, you will have to browse and then manually select windows media player as the application that can open .unk files. By browsing you can find windows media player under
Program Files > Windows Media Player > wmplayer.exe
in your main C drive and then you will also get to choose to make it permanent or not.