Opening activex Doc with IE 5.0

I begin a new ActiveX 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 on Windows 2000.
Before loading the file with Internet Explorer ,I see a message 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...???