IE File Association....

Hi, I already know how to associate a file if it is double clicked or whatever, but what I want to know is, how do I create an association so that when a certain filetype in Internet Explorer is clicked, it will launch my program?? Lets say I have the filetype .pje, lets say that the file held guitar tab info, now lets say at my website you can download .pje files, the users have to "Save Target As" or else the file will just open up in a new window so I want to make it so that when .pje files are clicked, Internet Explorer will either download the file first then open up my program, or just launch my program with the file's info... I know this can be done because I've seen other programs that do it, Getright, Gozilla etc....

Thanx,
AAG