Win2K RRAS Setup - Problems with downloading files with IE on client

[AU Tiger]

I have setup a Win2k server in my house using RRAS, DNS, and DHCP to share my cable modem. I have noticed strange behavior when I try to download files from websites. Instead of giving me the save dialog IE tries to display the file. I don't have the same problem on the server. Is this some configuration problem with my server?

Thanks.