Don't Get Download Window

Don't know if this is - dare I say - "a bug" in IE. Try this (or should I say don't try this) at home folks. In order to attempt to fix my prob which detailed in the previous posts (titled "FUNNY THING HAPPENS WHEN DOWNLOADING ZIP FILE" in IE General Forum), I tried anything, and played with a few thing. This is what I did. I clicked on a zip file and associated with IE program (I'm embarrassed to say that I don't even know how to do that again. Don't ask me to retrace my steps), and see what happens, if you dare!!!!!! If you can replicate what I did, you should see IE windows pops up endlessly. Gone bersek, in other words. Anyway, this is not what I'm concerned (although Microsoft should certainly looks into it). I have posted this question in one form or another. When I tried to download a ZIP file from any website, I don't get a download window, and instead I get some non-standard actions.

Since it ONLY happens when I download a ZIP file, It slowly dawn on me (I'm pretty slow) that the issue has to do with my ZIP file association, hence the reason why I played with the ZIP file assocation and get this scary scenario of IE gone hysterical. Pre-IE6, I can fix this issue with a file association in the "File/Folder View and Search Option" , which was drastically altered in the subsequent version of IE leaving me confused and helpless. I have posted several times and nobody can answer my question. Perhaps because this issue seems to be an IE-related, but in fact it is not. So posting this question in IE forum won't get me the right expertise. I posted this question in Vista General form before, and was told that i get get better response if I posted in IE GEenral. I'm absolutely frustrated with this prob.