If u visit this link,for example ,
http://www.bungie.net/Games/Halo2/pa...eVideos&page=1
There for downloading game videos they have said " right click and 'save as' " to download but in Firefox if u simply Left click on it Downloader opens up as i said earlier.
But for some other sites you have to RIGHT click on the link and select the option "Save Link to Disk" and proceed accordingly to download the file.
hope this solves ur problem.