Hi Denver Guy, you do need to run program files as a separate step after saving them. The fastest way would be to click the Downloads arrow on the toolbar, then click the file you want to open/run. Does that work on yours?

(Old-ish screenshot attached for reference.)

Thanks, I am missing that down arrow. Do you know how I can get that feature?

Hi Denver Guy, the arrow should appear after the first download of the session. If it's completely missing from the toolbar, please check the available buttons in the Customize panel or in the "overflow" drop-down at the right end of the toolbar.

See: Customize Firefox controls, buttons and toolbars

Jscher2000, many thanks. I had been looking on the bottom of the screen. I guess it is the blue arrow here. Thanks again.

Yes, you got it. It's blue when there is something new you haven't looked at. Then it turns gray after you've opened the panel. A bit like a notification.

Note that the downloads button has an Auto-Hide feature that you can toggle via the right-click context menu in regular mode when the button is visible (Auto-Hide on Toolbar) or via a left-click when you are in customize mode (Auto-hide checkbox). If the window is very small then Firefox will decide to hide some buttons (they don't even show for me in the overflow area) and I can drag the location bar to the right or up off the Navigation Toolbar to make these hidden buttons appear visible. This looks like a buggy implementation to me (the location bar should shrink and make all buttons visible in customize mode).