Having the same issue (never noticed until an IE user brought it up...shows how many people in my office actually use it! :P) and installing MOCP did not work, unfortunately.
I tried to nudge it along with declaring the XLSX MIME type ("application/vnd.openxmlformats-officedocument.spreadsheetml.sheet", for those who are interested - took awhile to dig it up) but that didn't work either. It sort of seems like a "s**t
outta luck" sorta deal, and people are just going to have to use other browsers until MS *really* fixes this.
The particular IE user who says that Windows opens the xlsx file as a zip file does not have
"Microsoft Office Compatibility Pack for Word, Excel, and PowerPoint 2007 File Formats" installed. Without that he won't be able to open xlsx files in Microsoft Excel 2003.
Once he installs it this should not happen.