The default download dialog box in Firefox ^[1] does not allow you to run a file without saving it first to your hard drive. The option to directly open files is pretty convenient when you do not want to save the file and run it from a temporary folder, a option to do this is available while downloading files using Internet Explorer.

However  a experimental add-on called RunDownload will let you directly run the files without having to save them to your local harddrive.

RunDownload allows users to open any file with the default program as assigned by the operating system, along with directly allowing you to install the applications while saving the file to your temporary folder.

Download RunDownload Firefox Extension ^[2]