I have no "open with" option for downloads

I click on a file within a website to open it, but the pop up box does not have the "open with.." option, only the save option. The file type is a text document with the extension ".prg" which is associated in my Windows Folder Options to open with Wordpad. Within Firefox Tools/Options/Applications, this file type does not show up, so I cannot change it. I read elsewhere where this is blamed on MIME type in the HTML header, but Microsoft Internet Explorer gets it right every time, only Firefox does not recognize the file type.

As an aside, the same site has files with the extension".chg" that I open with Notepad. Firefox gives the "open with" option for these files, with Notepad as the defauld, but the "Always open with" is greyed out. Not that I care, as the default is what I want, but....