Cant open admin.php to install

I’m a newbie to Word Press and trying to install with a bit of frustration.
I am running IIS 5.1 on XP SP2
I am running Mysql on same machine
This is an Intranet..

Path for browser = http://Intranet/Wordpress/wp-admin/admin.php

It asks if I want to open or save rather than open in browser where I should be able to login and setup begins.

Help?