Weird behavior after update

I had a recent update of win10. After that everything is ok except when I launch applications a small window with an html file open with the buttons save and open. If I open they open in the browser but nothing happen if I save them the same because the message is till appearing. What can I do to get rid of it? I have tried with the list of default applications for win10 and still the problem persist. Is annoying.

Here is a screenshot. This occur when I open skype, chrome, and other applications. Its so annoying