Eddie,
In general:
You have to set this option for each file type and the route to Folder
options> File types will be slightly different, depending on your OS:
From Windows Explorer> View> Folder options> File types
OR Tools> Folder options> File types
OR Ctrl Panel> Folder options then File Types. Select [file type]> Advanced.
Put a check by "Confirm open after download."
You should then get the "Open or Save" dialog for each download.
You may also have to try the procedures in:
162059 - Office Documents Open in Internet Explorer:
http://support.microsoft.com/default.aspx?scid=162059
And, there's an issue affecting CSV files:
318761- Open Button in Dialog Disabled When You Browse or Redirect to .rtf
or .csv Files:
http://support.microsoft.com/default.aspx?scid=kb;en-us;Q318761
Hope this helps,
Don