From here:

The file association Web service in Microsoft Windows XP Professional Service Pack 1 (SP1) extends the scope of information stored locally by the operating system about file name extensions, file types, and the applications or components to use when opening a particular file type. Assuming that .123 filetype is unregistered in your system, and when you double-click a 123 file, you'll be presented with the Web Service dialog as shown in the figure. When you choose the first option, Windows launches this website:

http://shell.windows.com/fileassoc/0409/xml/redir.asp?Ext=123

To prevent the initial dialog from being shown, to proceed directly to the Choose Programs dialog, try this:

• Open Registry Editor and navigate to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer
• In the right-pane, set InternetOpenWith value to 0
• To make changes to all the user profiles, make the changes here:  HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Explorer
• If InternetOpenWith does not exist, create a new REG_DWORD value and assign 0 to it.

Another method:

• Navigate to the following registry key: HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\System
• In the right-pane, create a new REG_DWORD value named NoInternetOpenWith 
• Double-click NoInternetOpenWith and set it's data to 1.
• To make changes to the current user profile only, delete the NoInternetOpenWith value in HKEY_LOCAL_MACHINE area, and add the value here: HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\System