This message has annoyed me for a long time. Today I found the solution thanks to this post “Users always asked to download tx.sap FILE VIA SAP PORTAL” on http://sap.ittoolbox.com.
The reply by Bozman had the solution that worked for me.
Here is the magic:
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\Shell\AttachmentExecute\{0002DF01-0000-0000-C000-000000000046}]
"SAPGui.Shortcut.File"=hex(0):
After installing this I was able to click the link in SAPLaunch and the SAP GUI opened without prompting. Pure Bliss!!!