IE File Download Window

I have a client who is not getting the file download window when she downloads a file while in IE. The window that says save to a disk or open from site. We have unloaded IE back to the old version and reloaded IE 5.5. No matter what version is current we still do not get the file download window. Netscape works okay. Is there a registry setting that needs to be reset or is there a fix at all?