Open / Save dialog in IE 5 & 6

We have a custom app that opens files with a .CHT extension. Using windows explorer, it is associated, and they open without a problem when double-click on a .CHT file. Using IE (5 or 6), when clicking a .CHT file link, you are prompted with the Open or Save dialog box. The ‘Always ask me’ is checked. I uncheck the ‘Always ask me’ and click ‘Open’. The file opens in the correct application without any problem.

However, when returning to the webpage, and clicking another .CHT file link, I am again prompted with the Open/Save dialog box, and the ‘Always ask me’ is checked again.

This does not happen with other file types.