You say 'when I download a file': you mean downloading a file that is attached to an email, right? When you open an email with an attachment, the attachment should be listed in the bar at the bottom of the email reading window. At the right hand end of the bar there is a drop down menu with various options -- save, save as, open etc. If you double-click the attachment Thunderbird will attempt to open it using whatever program seems appropriate: a wordprocessor if the attachment is a document, an image viewer if it's a photo, and so on. You can configure how Thunderbird behaves by going to Preferences > Attachments, which also has options for where downloaded files should be saved. Not sure if this is what you want. I'm not aware of a facility that first saves attachments and then automatically opens them. Personally I open them first before I decide whether I want to save them!

Tools (Alt-T) - Saved Files Right-click on an entry - Open