To prevent it from opening Front page, you have to changde your file associations - use ie for "open", and fp for "edit". Also add fp to the right-click "open-with" menu.
Back with W2K, I seem to recall running localhost web pages through scripting by executing a shortcut to the file rather than the file itself. Always opened a window though.
One approach that many people use to run scheduled asp scripts that don't produce page output is to get a $2/$3 a month unix account with crontab capability. Execute the page through cron using the Lynx browser and redirect any output to /dev/null.
I use this approach to get and format news feeds once an hour or so. Speeds up the page loads as the user doesn't wait for the feed.