If you selected "Select a program from a list of installed programs", you would get this much more useful dialog instead:
The registry hack will show you the second Open With dialog instead of that irritating first one.
Manual Registry Hack
Open regedit.exe through the start menu search or run box, and then browse down to the following key (create the key if it doesn't exist)
Create a new 32-bit DWORD value on the right-hand side with the following values:
- Name: NoInternetOpenWith
- Value: 1
The change should be immediate, no need to restart anything. To reset back to default, set the value to 0 or delete the key.