These two articles do a pretty good job of explaining what to do when IE starts downloading and opening files without asking for permission first.
Didja know, by the way, that you can (assuming you’re working in US English and you’ve not messed with your search-from-address-bar settings) see Microsoft Knowledge Base articles just by typing “mskb #######” into the address bar? Try it, typing “mskb 177976″ should take you to the first of the links above.