Freshly installed NW OES sp1 server.
Trying to open a file by double-clicking it.

Works with Firefox, both HTTP and HTTPS
Works with IE6 using HTTPS
Works with IE6 using HTTP, but only for extensions that can be opened in a
IE window directly (*.txt, *.jpg, *.doc, *.xls, *.pdf)

Does not work with IE6 using HTTP for extensions that are associated to
external programs.
For example when opening a file TEST.LOG, which is associated to Notepad, it
"Cannot find c:\<ie cache> \test[1].log. Do you want to create a new file?"
It works when I right-click a file and choose "Download' from the menu and
choose 'Open'

Site is added to Trusted Zone, disabled firewall and AV, happens on W2k and
XP fully patched.

Anyone found a solution ?