For safety reasons, Firefox doesn't Run/Open executable files. You can save the file and execute it from the download location. Yes, that's an extra step compared with Internet Explorer.

The downloaded file has been stored in the Win10 directory tree. The installation instructions specify, "run the exe file from the browser address line (file:///c:/path/file.exe) and not from the Win10 command line". I've done this in the past but since then many revisions and updates have been made to browsers and now a window with 'save' and 'cancel' pops up. 1) I'm crazy or 2) someone else is having this problem.

What are you installing? Can you link to it?