Firefox has worked this way for about 7 years, so I don't think it's going to change. Someone might have posted an add-on to add the Run option; you can search at https://addons.mozilla.org/firefox/.

Meanwhile, if you use the Downloads window (press Ctrl+j to display), it's easy to navigate to a download: right-click and choose Open Containing Folder to open the folder containing the download, or just double-click to run it.

I'm sure that IE also downloads and saves the file somewhere (probably in the cache or in %temp%), but you probably won't notice it.

You need to remember downloads to be able to use the above posted steps.

To see all the History and Cookie settings, select:

• Tools > Options > Privacy > History: Firefox will: "Use custom settings for history" > download history

• https://support.mozilla.org/kb/Downloads+window

My point was not whether the file is saved or not. My point was that IE (the browser from that big, predatory, insensitive monolith) allows me to install an application with one click (if I don't want to keep the install file); whereas, FF (supposedly written by and for users) makes me go through a whole multi-step procedure.

It is not built in Firefox due to security reason and because if some newer or impatient Windows user ran a iamreallyatrojan.exe (without scanning it first) and got infected, they will likely blame the Firefox browser or Mozilla and not themselves if only because Firefox had that feature (which it does not).

There was the "Open Download" extension https://addons.mozilla.org/en-US/firefox/addon/opendownload/