Why the error 404 happens when I access *.mp4 file by HTTP?

So I found the solution.

I just added correct MIME type to my website.

Extension: mp4

MIME type: video/mpeg

And now it works fine.

Add a MIME type with extension mp4 in IIS

But please note that you should set the MIME type video/mp4 instead of video/mpeg orelse in IE "Save Target As.." shows different format, and it also affects the default video player open by browser.

video/mpeg

File name: test.mpeg

Save as type: Movie Clip

video/mp4

File name: test.mp4

Save as type: MP4 Video