Go Tools->Options->Main and see where Firefox is set to automatically save files to. Checking that option will eliminate the Save As prompt, automatically starting the download to that predefined location.
Hope this helps,
John
After asking me if I want to save the file the window closes and doesn't let me choose where to save it to. Consequently, I can't run the setup file.
I'm using Firefox (latest version). Download used to work fine but I got tired of always having to look at the download box and I think I changed an option somewhere, which I'm unable to remember the location of.

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