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Question on downloading files

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Some web browsers allow the user, when downloading a file, to run it directly from the hosting website instead of saving the file to my hard drive. For example, when I first set up this computer, I was able to "run" the Firefox setup program directly from Internet Explorer without being *ABSOLUTELY* forced to save it to my hard drive. Does Firefox allow this in any way, without *ABSOLUTELY* ramming the "save to your hard drive" down your throat every time?