As always people w/ problems tend to leave out a lot of details. By default using IE, you should get a "File Download" window pop up giving you the option of Open, Save, Cancel, and More Info. As the two informative members suggested, you must've installed some kinda software that threw IE out of sync. Uninstall whatever download manager you have, get into Registry and clean out anything related to the download manager and try again. Go to MS, download IE6 and reinstall it if you have to. If all else fails, do a system file restore w/ your OS CD. What OS are you running anyway? WinXP?
BTW, you can easily give IE the tab treatment by installing Crazy Browser, an add-on for IE that includes pop-up killer.
And please don't give me that Mozilla crap, it's nothing more than Netscape.:Z If I want an original open source browser, I'd be using Opera.