Internet Explorer Changes File Extension

We have created several data files that work with a program that uses files with the extension .mhw. I believe that the files are XML files. We make the files available for download on the web. In Firefox, righ-clicking on the file allows users to save the file properly. In IE6 and IE7 when users right-click and choose Save Target As, the extension is automatically changed from .mhw to .xml. Even when they choose Save As Type: All Files, the extension remains .xml. How do I get it to retain the original extension? Here is an example of a file name:
#filename.mhw
TUMIhqAsked:
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jcimarronCommented:
TUMIhq--This may explain why IE changes the file extension
http://msdn.microsoft.com/en-us/library/ms775148(VS.85).aspx
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TUMIhqAuthor Commented:
The article was interesting and a bit over my head. But I don't think it solves the issue. How can I get IE not to sniff, or to simply download the file as named?
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jcimarronCommented:
TUMIhq--The implication is that you cannot change the IE action.
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