I have looked into this problem but have been unable to replicate it using Internet Explorer 8.
My .htaccess file looks as follows, please confirm that yours is identical:
AddType application/octet-stream zxp
With extension builder installed the 'Save As' dialog which IE8 displayed when trying to access the file correctly recognised that the file is associated wtih Extension Manager CS5.
I believe you will only see this on earlier versions of IE (IE6 if memory serves). The root problem is that the browser is being clever and examining the contents of what you are downloading (and a zxp is essentially a zip), and 'correcting' the file type.
Of course I could be mistaken, and there could be another factor at play...
Try adding these lines to your .htaccess:
It helped me some time ago. I had the same problem - zxp and mxp were being downloaded in any way except the right one.
It's really some server configuration issues.