It almost sounds like you want to mess with MIME types, maybe. I'm not sure about IE, it may get it's mappings from the folder options, but if a link doesn't have a program associated with it, XP's gonna have to prompt you to find out what to do. The problem there is then all your files on your machine won't work when you double click on them either.
Although, switching to Mozilla will allow you to do custom MIME types so you can save stuff, and you wouldn't have to worry about file associations in XP.
Either way, I'd go with the right click like soopafreek says, it's probably your best bet.
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