There are various techniques for locking down settings in general. This applies to I.E. and most other software that uses control panel applets to make the settings, and that store settings in the registry.
First, I am assuming you have Windows NT or Windows 2000 for this first technique. Make the settings the way you want them to be, and then prevent access to "regular" users to the appropriate *.cpl file in the Windows\System32 directory. For example, in the case of I.E., the file is INETCPL.CPL. Natuarally, you would permit the Administrator access, so (s)he can make changes when (s)he logs in.
The second technique is using system policies. You would typically get the policy template with the I.E. resource kit, and install it on the server. There are many settings you can set to reset each time a user logs in, and there are also other settings that permit you to lock user's out of making settings on their own. There is some overview information at http://www.microsoft.com/windows/ieak/en/corp/features/default.ASP
That sounds strange that the system prompts you to save an htm file. Sounds like the association between .htm and i.e. has been broken. In the Programs tab of I.E., try checking the "Internet Explorer should check to see if it is the default browser" to see if that resets the association. Otherwise, you will have to open Windows Explorer, look in a directory that has an .htm file in it and look at the file type. Then find that file type on the "file types" tab in Folder Options, and make sure it is associate with I.E.
