• Change the filename during the save dialog (Duh! Been there - I want a fix, not a workaround).
• Rename it once you save it (these mental giants were having a laugh at me)
• Use Firefox (I almost expected to find this on a Firefox site once I read it - I live in the Microsoft world)
• Add the site to your trusted sites (again, not a solution but a workaround every time I saw the problem)
• Change the MIME types on the web server... now this was interesting... okay, apparently a .NET framework update came out with a new set of MIME types that indicated what application should open up what file - this was controlled by the Web site administrator though, so out of my reach
• Disable IE's habit of "sniffing" the file header and working it out based on what it saw <-- BINGO!

What was happening - in web servers that had not been recently updated, the docx and pptx and xlsx file types were not registered properly on the web server. As a result, IE downloads the start of the file, looks at the first few bytes and assesses what it thinks is the correct application to open it with. This prevents someone from "disguising one file as another type, just by changing the extension (eg renaming .exe to .txt). It's a security feature - Firefox does not have it (which is why the Firefox solution works).
As some would know, the docx format is a renamed zip (cab?) file with lots of XML data in it. In fact, you can rename any docx file to .zip and have a look at its innards. This is why it picked .ZIP as the extension.

The other solution is to disable this IE security feature in the Registry. Navigate to:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\Main\FeatureControl\FEATURE_MIME_HANDLING and
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\Main\FeatureControl\FEATURE_MIME_SNIFFING

Change iexplore.exe's DWORD value from 1 to 0 - this allows the OS to take over and use the native application. Security lowered, problem solved... Well, kind of.

Brad