Weird download problem

[RogueCommander]

Everytime I try to download something the downloading box never shows up yet the file is downloaded anyway. Then it it sent to some folder inside my temporary Internet Files.Example:

 

C:\Documents and Settings\RogueCommander\Local Settings\Temporary Internet Files\Content.IE5\I18FATUV\206[1].zip

 

Now my problem is that how can I change it back so the download box reappears and I choose where the file(s) go. (btw this just suddenly happened I after I downloaded a few things. )