issue with open/save dialog

i am testing my application in IE8 for file open/save dialog box. when i first time click the document link it is showing open/save dialog without open option and just displaying download message in status bar. second time i click it gives dialog having open button.

not sure why this behaviour. i am setting headers properly even content type. but this i observe when i clear cache of browser. please help me or give me some direction to find out the root cause about this weird behaviour.

many thanks,
Vijay

What is the file type you are trying to stream back (Word doc, PDF, image, text, ...)? What content types have you used? Have you tried some different ones, such as application/octet-stream, application/download, application/x-unknown, etc.?