Microsoft HTML Help Question

I have a question about Microsoft HTML Help (uses file extension .chm). I have created a link from a web page to a .chm file that I want users to be able to click and access. However, when the link is clicked, a dialog box pops up in Windows XP asking me if I want to save or open the .chm file. I would like to know how to disable this message box so that instead of propting the user whether to save or open, the .chm file will automatically open. Any ideas on how to do this? Please help!