You need to learn how IE in WinXP SP2 works:
WinXP SP2: What's New for Internet Explorer and Outlook Express
http://www.microsoft.com/windowsxp/sp2/ieoeoverview.mspx
How the Attachment Manager works in WinXP SP2
[includes downloading in IE and streaming media]
http://support.microsoft.com/?kbid=883260
Changes to Functionality in Microsoft Windows XP Service Pack 2:
Browsing Security Enhancements
http://www.microsoft.com/technet/prodtechnol/winxppro/maintain/sp2brows.mspx
Description of the Internet Explorer Information Bar in Windows XP SP2
http://support.microsoft.com/?kbid=843017
--
~Robear Dyer (PA Bear)
MS MVP-Windows (IE/OE), AH-VSOP
What You Should Know About Spyware
http://www.microsoft.com/athome/security/spyware/devioussoftware.mspx
How can I turn this feature off? If I have opted to download a file I
really don't want IE to override. Clicking and selecting "Download" is
getting old. I have reset any options I could find. What did I miss?