Mime Types in IIS 6.0

I though that if there wasn't a MINE type specified Globaly or locally in
the ISM the user would get a 404.3. I can't get this to work with .mpg
files.
I remove the Mime type and the user gets a dialog box to either save or open
the file, along with a 200 code in the logs.
I recyled the App Pool and WWW Service just in case. It's still not working,
Anybody know what's happening here?
Does this have something to do with the user IE settings?
Thanks