This is a file type setting in windows explorer > Folder Options > File Types
What you need to do is untick confirm after open box for each and every file. This changes the settings in the HKEY_CLASSES ROOT hive, which is a link to HKLM/Software/Classes.
Once you have your settings perfect, you can export the keys and values of your choice and write a script to import these keys at logon, thus reverting any changes made by the OS or user to the custom default settings of your choice. You could even write a custom ADM file and roll out via GPO - that would be a good way of ensure your custom default settings.
This is one of themost annoying aspects of XP and IE/Outlook - both apps use this silly setting. Of course it is a security risk disabling this setting, but I trust you have enough security on your network to deal with this kind of threat. Anyhow, users will do what they choose and this setting doesn't restrict them from opening the file anyway.