I don't realy like your analogy. If saying that "Bob sells stolen watches at the corner" is equivalent to linking to a page, then linking directly to the file would be something like saying "Bob sells stolen watches at the corner, he has the one you want in his left pocket."
Axis uses this method to present video from their camera. It works in netscape (and Mozilla) and in IE for mac, but not in IE for Windows.
I don't realy like your analogy. If saying that "Bob sells stolen watches at the corner" is equivalent to linking to a page, then linking directly to the file would be something like saying "Bob sells stolen watches at the corner, he has the one you want in his left pocket."