I don't think it has much to do with your protocols.
You can tell the system to save files of this type and don't ask again. that could be the problem.
I'll look for a registry fix for yah if yah send me your E-mail address. Mine is jObE@ottawa.com.
Also try to tell me a little more about the problem. It is when you click on a link for the file or are they suppose to open in the browser like a mini WinMedia window?