Why Can't Check The "always Open With This Program" Box

We have an account with audible.com, and books were downloading just fine on my old computer. Switching to a new computer, however, meant that I had to go through a process of getting audible downloads to work again -- an involved process, unfortunately, that involved spending a long time on the phone with an audible tech. In the end, all was well except one thing -- we can't get the download to be automatic.

Instead of immediately downloading when I click "download" at audible (as it did before), I now see the download window, then I click on that and get an "open the file" window, and then the "what program do you want to use to open this file" screen pops up. The audible download manager is there, and when you click it, the download begins just fine.

At the bottom of that screen is a checkbox that asks if you want to always use that program to open this type of file -- and I do! But for the audible download manager (not for the other programs), the checkbox is greyed out so that I can't check it. The audible guy says that that's the key to automatic download, but he couldn't figure out how to make checking that box an option.