If it ends with docx then how do you know it's a pdf? Thunderbird cannot open either pdf or docx (MS Word) files itself, so you are obliged to pass these on to an application that can. The usual way is to save them to disk and then invoke the appropriate application. "All files" is just, AFAIK, a neutral filter. It's common for a file save dialogue to apply a mask so that you see only other files of the same type as the one you're saving. "All files" effectively removes any such filtering, so it is not a location as such. A "Save as" dialogue normally lets you browse to a location of your choice.