When downloading files using Internet Explorer, you may see the Open/Save confirmation box (as shown below) for certain file types. If you uncheck the Always ask before opening this type of file checkbox, the preference is saved in the user part of the registry. Also, the configuration is stored in a separate registry value for each file type.
Here is how to reset the Open/Save choice for a specific file type or all file types in Internet Explorer in Windows XP/Vista, Outlook Express and Windows Mail.

EXAMPLE
For example, if you download an Word 2003 file from a Web site and uncheck the above option. the registry is updated with the following registry entry:
Value name: Word.Document.8
Value type: REG_NONE
Where Word.Document.8 is the ProgID for .doc file types. Examples of other ProgIDs are txtfile, WinZip, xmlfile, wmvfile and so forth.
WINDOWS XP
To reset the Always ask before opening this type of file choice in Windows XP, use these steps:
1. Click Start, Run and type CONTROL FOLDERS
2. Select File Types tab
3. Select the file type from the list for which you wish to reset the Open/Save as option
4. Click Advanced
5. Enable the option named Confirm open after download
6. Click OK.

WINDOWS VISTA
As Windows Vista does not have the File Types tab in the Folder Options applet, you need to edit the registry in order to reset the Open/Save choice made earlier in Internet Explorer.
1. Click Start, type Regedit.exe and press ENTER
2. Navigate to the following branch:
3. In the right-pane, right-click on the appropriate entry and choose Delete
4. Exit the Registry Editor.
OUTLOOK EXPRESS / WINDOWS MAIL
Outlook Express and Windows Mail store the Always ask before opening this type of file choice in a different registry key. It’s here:
RESETTING THE OPTION FOR ALL FILE TYPES
To reset the Always ask before opening this type of file choice for ALL file types, you don’t even have to open Regedit.exe. You can accomplish this using the Reg.exe command-line tool.
For Internet Explorer in Windows XP and Windows Vista
Open a Command Prompt window (CMD.EXE) and type:
For Outlook Express & Windows Mail
Note: To prevent formatting or syntax errors, copy the text from the text box above and paste it exactly in the Command Prompt window.
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Worked fine for IE8 in Win XP. Try the CMD.exe tip
dude its not working for IE 7 word file….
This does NOT work in Windows 7
What is happening with Deboshree Roy is happening with me too, started a few weeks ago and I believe this is a windows update issue from a windows update and we may just have to wait for another windows update unless anyone knows how to fix this issue asap? Many thanks