http://216.239.39.104/search?q=cache:XJldPwt_V8QJ:www.daniweb.com/techtalkforums/thread5895.html+internet+explorer+prompt+download&hl=en
This might be what you need.... I used it when my PC stopped asking about ZIP files.
Quote from site...
"Open Windows Explorer, and go to Tools | Folder Options. Select the File Types tab. Scroll down to the specific file type, and once highlighted, select the advanced button. Check the box Confirm Open after Download.
These procedures will have to be repeated for all file types that you want to see the download prompt."