Save or Run Option not available on .exe files

[rogerfixit]

When downloading a '.Exe' file, I do not get the option screen to 'save' or 'run' so all I get is white screen with placecard upper left.
If I disassociate the .Exe extension with 'Application' - (I use a program called "Freedom of Association" from PC Magazine) - then I will get the option screen. Of course, .Exe programs do not run until association is restored. Have permanently disassociated .Zip files so I do get the option screen.
Something is wrong in the browser but do not know how to repair.

 

[ZZZ7]

http://support.microsoft.com/default.aspx?scid=kb;en-us;Q177976

 

[rogerfixit]

Reference is very informative - Only problem is- only goes to Win98 and IE 5.5. I am using Win XP and IE 6.0 and do not seem to have the 'Edit' option in the association.
Sorry I did not mention OS & IE version before.