Getting Content-Types to work in IE is a bit of a black art! Windows doesn't rely solely on the Content-Type header to know what to do, it has an extra step called MIME sniffing whereby it interogates the first n bytes of the response and tries to guess what MIME type it is (see
this for more). If you are on XP SP2 or higher you can turn this feature off and see if this is what is clouding the issue.
Assuming IE correctly honours the Content-Type, or correctly sniffs the MIME type it uses the registry key in HKEY_CLASSES_ROOT/MIME/Database/Content Type to map to the application to use. You could double check there to make sure your registry is not corrupt. Unfortunately this MIME database just contains keys to the classes that represent each MIME type so you will have to do more digging to find out what applciation is actually registered to handle a particular MIME type.