You might also try opening up the Windows Explorer
1. Go to Tools / Folder Options / File Types
2. Scroll down to the file Extension want to change
3. Click on the Advanced button
4. Check Confirm after download
When you try and download a .EXE file with Internet Explorer, you are prompted to "Always ask before opening this type of file".
If you uncheck this box, the next time a EXE file is about to be downloaded, you will not be prompted and the file will automatically be opened.
You also do not see the "Always ask..." box again so you can uncheck it.
To reset Internet Explorer back again:
1. Start Regedit
2. Go to Hkey_Classes_Root \ exefile
3. Change the EditFlags value from d8 07 01 00 to d8 07 00 00