Well, couldn't leave it alone, could I?

If you Google this phrase - Always ask before opening this type of file
you'll find some techniques for getting the "Save or Open" to come back up once you've checked the box.
Here's the jist of it for XP:
Under Administrative Logon:
Open up Windows Explorer (not Internet Explorer, but Windows Explorer)
Click on "Tools" menu command
Click on "Folder Options" dropdown command
Click on "File Types" tab
In "Folder Options" window, "Registered file types:" subsection, scroll down to Extension "wba" / File Type "wbload Document", click once on it to select it.
Click on "Advanced" button (lower right)
In "Edit File Type" Window, select "Confirm Open after download" checkbox.
Click "Ok" button in "Edit File Type" Window
Click "Close" button in "Folder Options" Window
Close Windows Explorer Window
I did that and got the window to come up once, then didn't see it again. Haven't been able to get it back since. Seems a little quirky but you might give it a shot. Tired of playing with it for now. Guess I'm sticking with the right-click approach.