In Windows XP, when you try to open a file of unknown type, Windows offers to search the Web for the appropriate program to handle the unknown file before offering to let the user choose which program should be used. To bypass this annoying step, use the Group Policy Editor, which should be located at
C:\WINDOWS\SYSTEM32\GPEDIT.MSC, navigate to:
Local Computer Policy-> Computer Configuration-> Administrative Templates-> System-> Internet Communication Management-> Internet Communication settings-> Turn off Internet File Association service
Then open the Properties dialog and select the "Enabled" radio button.