I might need the help of an I.T wizz in this case (or someone who knows computers well)

I'm using XP and i have just gotten back from holidays and now when i try to open replays that i find here on the forums, it opens up the "my computer" directory for me to choose a place to save it. I have to save every single replay i want to view and then open it up and view it from there.

I do not want this.

Before i could choose whether to save it or to just open it. I want to be able to just open it again...

Any help?
Thnx