Well, if the program is not saved, how can the computer run it? I know that Windows Explorer can do this. The file is saved to a temporary folder, ran, then removed. I don't know if Firefox can do that.

Go to the Mozilla Add-ons Web Page (There’s a lot of good stuff here) and look for something that can do this for you.

You can set how you want to handle files globally under Options → General.

• Startup, home page, tabs, and download settings

You can set what you want to do with particular files types under Options → Applications.

• Manage file types and download actions in Firefox

You'll always see a download prompt if the server sends either the Content-Disposition: attachment or the Content-Type: application/octet-stream header. You can either post an example link so someone can check, or you can examine the server response headers yourself using the Web Console.

• https://developer.mozilla.org/docs/Tools/Web_Console

The workarounds are the InlineDisposition and Force Content-Type add-ons, respectively.

• https://addons.mozilla.org/firefox/addon/inlinedisposition/
• https://addons.mozilla.org/firefox/addon/force-content-type/

Also note that for security reasons, executable files (.exe, .msi) can't be launched automatically.