IE 6.0 will not automatically download files of any kind

[knockingknees]

Whenever I try to download something, instead of the dialog which allows you to specify a location to save the file, IE tries instead to open the file. It is unable to of course. So I am shown the little icon with squares and triangles, you know the one which shows up when a graphic is trying to load.

I can click "save as" though and it downloads the file just fine.

Well okay, I know I can continue with using "save as" but it annoys me that IE doesn't work the way I want it to.

Can anyone help me with this?

Thanks in advance