Vista - "Close this dialog box when download completes"

I have what I thought would be a simple problem, but now it's become just
irritating. Our application downloads Word Templates on-demand pre-populated
with data to the client machines. No problem there.

However, when testing a new release, I suppose I accidentally checked the
"Close this dialog box when download completes" checkbox on the Download
dialog, and now I cannot figure out HOW to uncheck it. Whenever I download
anything, I get that dialog, and then immediately a "Save As" dialog appears.
I save the download to my hard drive, click Save, and the "Save As" and
"Close this dialog box when download completes" both close at the same time -
i.e. no chance to uncheck it.

We want to give our users the opportunity to click "Open" on that dialog.
Obviously we need to know how to troubleshoot it if they accidentally check
that checkbox as well.

Thanks for your help!