What you should be doing waiting for the download to complete and then go to the folder where the file went. You can create that folder and have FF send downloads there or use its default. In any event, I'm not sure what you're doing by what you wrote but you can't do anything until the download completes and then you should use Windows Explorer to navigate to the correct folder. Check the file and make sure it's of the expected size. You may also encounter download files that are just "stubs". This means you don't have the full program but just the part needed to download the actual program files.
I'm using Firefox because it's the only thing I have besides IE and that doesn't work. I have Norton.
When I try to download something a window pulls up saying "Save File" or "Cancel" so I click save file. Then I have to go to the downloads menu and click on the file and it pulls up a box saying "Run File" or "Cancel." When I click run the box closes and nothing happens. How do I fix this?