Well, here I go answering my own questions again. To best answer this, let me tell you exactly what I did.
I clicked a link to an mp3 file to download. What I did was uncheck the box that said "Always ask before opening this type of file". Now everytime I download an MP3 file, it automatically opens in whatever program is associated to it, in this case, Winamp. I couldn't save to disk anymore, it would just keep it in my temporary internet files folder. Really annoying. This same example will work for all files that you have unchecked this box for.
The fix:
Open Windows Explorer
Win98: Click view, then folder options
WinME: Click tools, then folder options
In the following window, click the File Types tab
Now find the file type in question, in this case, it would be .mp3
Now edit the file type by clicking edit (Windows 9x), or advanced (Windows ME)
In the Actions window, select each action, and make sure the white box labelled confirm open after download is checked, the file type in question would have this box cleared. Check it and OK your settings. All done. Hope this comes in handy for somebody someday.