It is Xp your using yes?,and you have SP1 installed also, Sorry had to ask.. I wonder if it has something to do with Microsoft Java Virtual Machine.I will try and see what I can find out, hope someone can be more helpful than me at this moment in time..
Internet Explorer uses the registry in Windows 95, Windows 98, or Windows NT 4.0 or later to determine what filename extension to use for downloaded files. If registry keys are damaged or missing, Internet Explorer may assign files an incorrect extension, which will prevent the system from opening them. Reinstalling Internet Explorer rewrites damaged or missing registry keys.
Windows hides registered file extensions by default. To enable Windows to show filename extensions:
1. In Windows Explorer, choose View > Options (Windows 95 or Windows NT) or View > Folder Options (Windows 98 or Windows 95 with Active Desktop), and then click the View tab.
2. Select Show All Files in the Hidden Files section or folder, deselect the option labeled, "Hide MS-DOS File Extensions for File Types that Are Registered" (Windows 95), or "Hide File Extensions for Known Files" (Windows 98, Windows NT 4.0, or Windows 95 with Active Desktop), and then click OK.