OpenDownload² extends the “Save” dialog by a “Run” button to open the file directly.
Here is more about this add-on from the developers:
OpenDownload² adds a “Run” button to the “Save File As” dialog, similar to Opera and the Internet Explorer. When you press that button, the particular file will be saved to your temporary folder and opened with your default application or – in case of executable files – automatically executed. You can change the default download directory with the extensions.openDownload2.downloadPath setting in about:config. Please note that all files in that folder will regularly be purged – thus, you should not specify your Desktop directory.
Want to learn more about it? You can pick it up at the Firefox Add-ons website.