Openning Activex Document With Internet Explorer 5.

I begin a new Active Document Dll project with Viual Basic 6.0
Then I compile it.
I take the .VBD file (Which represents the Activex Document) and try to load it
using the Internet Explorer 5.0.
Before loading the file I see a message from Internet Explorer saying:

What would yopu like to do with this file?
- Open this file from it's current location.
- Save this file to disk.

But I don't want to receive this annoying message ...
I want IE 5.0 to load this file always without asking me what to do with it.

What should I do to get rid of this message...?????)