Your program will be saved any way (e.g. in the temp folder or the IE cache) to be able to run it, only in Firefox you need to do this explicitly and open the Firefox via the download manager after having saved it.
This is done for security reason to make it possible for AV software to scan the file.
It also gives you more time to consider if you really want to open run the file.

You can look at this extension if you want to bypass this:

• OpenDownload²: https://addons.mozilla.org/firefox/addon/opendownload-10902/

That is a potential security risk. If you save an executable file first, you have the possibility of running a virus scan on it first, but if you execute it right away, that will not happen. That was why Mozilla set things up so that Firefox does not do that.

Thank you. I applied your bypass and I will see if it works. I know the risks of running a program but like that I now have the option to make that decision.

I have downloaded the add-on and will test when I get a chance. I personally feel that the control of run or save should be internal to Firefox for security reasons. That would provide an opportunity to have the executable scanned by the AV prog of choice before the run takes place. (Which this addon may or may not provide.) I agree with the general position that for security reasons you should not allow a run to take place automatically, and should be allowed only under very special circumstances. Providing the choice should be made in such a way that the user is given the opportunity to reflect on what they are about to do followed by a proper AV scan and then execute. The reason that the ability to run is important, more software publishers (including Microsoft, Norton Symantec, etc) are using executables such as LogMeIn Rescue, to provide remote support. These executables are delivered as downloads. I have experienced that saving them and then executing them outside the browser does not (always?) work. The only solution that appears to work consistently is making IE the default browser temporarily (assuming that you have it installed) and then restarting the support session, download/execute the chat/support program. Having forgotten to go through these gyrations before initiating the support request will result in a 15 minute or so switch of browsers, an attempt at reestablishing the support session, and risking that support will charge you for the session because of the increased overhead/time on their part (that's about $99 on Microsoft's part). A more elegant solution would be to provide an internal save/run option with appropriate safeguards.