Firefox doesn't allow you "Run" an installer from the download window (security is the reason), but there are a couple of extensions that add that feature. https://addons.mozilla.org/en-US/firefox/addon/207/

This is the one and only reason I will continue to use IE 9 instead of Firefox 4 (after having been a faithful Firefox user and promoter for years). I'd expected that by now, Mozilla would realize that eliminating the Run option does, in fact, NOT make a system more secure. It just adds another step to running a desired download (UAC (Useless Account Control), anyone?), and yet ANOTHER step to delete the file after you're done with it. Run or Save, the file is still downloaded to the system. Adding these extra steps doesn't make anyone any safer - it just makes using Firefox a PITA. One that I have, until now, dealt with. No more.

opendownload does not work with 4.0.1.

do any other add-ons exist that do?

I'm with you 100% on this Unfortunately I occasionally have a prob logging in to me account page @BFG in IE, so I have to use FF. It drives me up the wall to have to save it , then install it. The most infuriating thing is that it doesn't remove itself from the list after it's installed. I often forget to clear the list if I've been installing several progs so I have to run thru installing them all over again.

Like you, it's the main reason I stay away from using FF on a reg basis!!