You may need to change the 'confirm open after download' setting for particular file types.
To do that, please try the following:
- In Windows Explorer, click Tools -> Folder Options -> File Types
- Scroll down to and select a file type (mp3, zip, rar etc)
- Select the Advanced button and ensure there is a tick for the 'Confirm open after download' box
- Repeat with any other file types
- Click OK/OK to save the settings
Now the next time you start a download for those file types, a box will pop up asking you what to do.
Hope that helps