See Kb Article at this URL:
http://support.microsoft.com/default.aspx?
scid=
http://support.microsoft.com:80/support/kb/articles/Q1
77/9/76.ASP&NoWebContent=1
or view text version below:
SYMPTOMS
When you download a file from the Internet, you may not be
prompted for the location in which to save the file that
you are downloading. Instead, the file may be opened.
CAUSE
This behavior can occur if you clear the Always ask before
opening this type of file check box when you download a
file. If you do this, files of this type are automatically
placed in the Temporary Internet Files folder and opened
by the program that is associated with the file type.
RESOLUTION
If you want to be prompted for a download location for the
file type, follow these steps:
Double-click My Computer.
On the View menu, click Folder Options.
On the File Types tab, click the appropriate file type in
the Registered File Types box.
Click Edit.
Click to select the Confirm Open After Download check box.
Click OK, and then click OK.
MORE INFORMATION
When you first click a link to download a file, the File
Download dialog box appears. You have the following
options:
Open this file from its current location
Save this file to disk
Always ask before opening this type of file
If you clear the Always ask before opening this type of
file check box, you indicate that this type of file should
always be opened with the associated program. The file is
then downloaded to your Temporary Internet Files folder
and opened.
If the Always ask before opening this type of file check
box is unavailable, there is no program associated with
the file type. For example, if you download a file with
a .zip extension, the check box is unavailable unless you
have installed a program that can open .zip files.
For additional information about downloading .exe files
with Internet Explorer, click the article number below to
view the article in the Microsoft Knowledge Base:
140991 Internet Explorer Opens .exe Files Instead of
Downloading Them
For additional information about a tool to automate this
process for all Microsoft Office file types, click the
article number below to view the article in the Microsoft
Knowledge Base:
238918 Availability of Microsoft Office Document Open
Confirmation Tool