Reset Open/Save Choice for Internet Explorer Downloads in Vista
If you've removed the checkbox from the "Always ask before opening this type of file" on the downloads window and now you no longer get the dialog that says "Do you want to open or save this file?" then you are in luck, because I've got the answer for you.
There is a registry setting that controls the list of which files you've chosen to automatically open, which means if you uncheck this box the default will be to always open the file, which is why you don't get the option to save the files anymore.
Manual Registry Hack
To manually make this change, we need to open up regedit.exe through the start menu search box, and then browse down to the following search key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\Shell\
AttachmentExecute\{0002DF01-0000-0000-C000-000000000046}
Once there, you'll notice keys in the right-hand pane for each file type. To reset the setting for each, just delete that particular one from the list. The changes will be immediate.
Downloadable Reset All Download Choices Hack
If you want to just reset all of the choices, I've provided a registry hack file that will reset all of the choices for all file types. If you want more granular control you should use the manual method outlined above.
Note: Using this registry hack will delete information from your registry that isn't easily recoverable. You should consider doing a registry backup before doing this. Of course, if you are in the registry doing a backup, you may as well use the manual method.
You can also change this setting by opening Windows Explorer, going to Tools–>Folder Options–>File Types, selecting the registered file type you wish to change (ZIP), clicking the Advanced button and checking the box for "Confirm open after download".
Bob
Bob,
You are absolutely correct for Windows XP, but that doesn't work in Windows Vista… =)
Bummer. One step forward, 3 steps back.
Bob
I don't have the attachmentexecute registry. what can i do? the download provided also did nothing…
THANK YOU SO MUCH
This has been driving me NUTS for a couple of months now, and FINALLY a solution. Once again - thanks 
Thanks!!!!!!!!!
I tried the solutions that were on Google for IE7, and finally thought I would try a Vista solution, just to see if it would clue me into what I needed. This worked flawlessly on IE7, exactly as you described.
I don't know what else to do. I have IE6 I no longer have the option of opening documents, I have to save everything. I tried going to My Computer, and doing the changes above, that didn't work. Yes, I restarted. I don't have this problem in Outlook, only IE.
Legend!