Lost my file download dialog box

I download a fair amount of zipped graphic files. Between downloads (at the one site) my dialog box disappeared from the screen. Sometimes now if I right-click on the file's url the dialog box appears. Othertimes it might download while indicating on the bottom grey bar that it is downloading, then the 'unzip' box appears for me to choose where to put the file. This is burdensome - and I can't do other net things while it is downloading. And sometimes nothing downloads. And downloading from some of the free web hosting sites that others have uploaded their file to is extremely difficult. Please - can anyone help me find my download dialog box? I want it to show on screen every time I want to download something.

PS I have tried the control panel/folder options and Explorer/tools/folder options routes (they are the same information) but don't see anything which looks possible. I would love to locate the dialog box. I am not awfully computer literate.