Wow.

[Quark]

Straight from: http://www.mozilla.org/start/1.0/faq/browser.html#2.9

2.9. Why doesn’t Mozilla allow me to run an .exe (executable file) directly from an Internet location?

    This is a security precaution to help avoid malicious software getting onto your system or network. Not allowing a program to run directly from an Internet location allows you to make sure that what you are running is indeed what it seems, and to scan the file with anti-virus software if necessary.

    Other files (documents) can still be launched directly from Mozilla.