ROX's -U option that Into.The.Void uses is not available in the version of ROX that's in Etch, but it is available in Lenny. (You have updated to Lenny, haven't you?) The bad news is that, the file used in Into.The.Void's script, /usr/lib/rox/ROX-Filer/AppRun, is not part of the ROX package in Lenny. But the good news is that it is trivially simple to change the script so that it does work in Lenny.
So, here is Into.The.Void's method adapted to Lenny:
As root, make a new file /usr/local/bin/roxuri and copy the following into it:
Make the new file executable for all by using ROX or by issuing the command:
#!/bin/sh exec rox -U "$@"
chmod a+x /usr/local/bin/roxuri
Open Firefox/Iceweaswel and set it to use the script to open files with Edit -> Preferences -> Applications: file and selecting /usr/local/bin/roxuri
I don't know if this will work with Ubuntu because for some strange reason Ubuntu's version of ROX in 9.04 is quite a bit older than what ships in Lenny.