For as long as I can remember the Windows default "Use the Web service to find the correct program" when opening a file that has not been associated has never done anything but being in the way. All it does is add two extra clicks (Select a program from a list of installed programs -> OK) and I would like to go directly to the "Open with"-dialog but there is no setting in Windows for this, can this be solved?
Luckily I've found the solution after years of annoyance; there is a setting that can be added to the Windows registry.
Type regedit in run under the start menu, browse to HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\Explorer, create a new DWORD value with the name NoInternetOpenWith and value 1.
I can confirm that this works on both XP and Win7.