Only place there is a Run is in Internet Explorer.

Firefox/Netscape never so Save As is so you know or can choose where to save it, including making a New Folder for it or where ever you like.

Save goes to the default download folder. What ever that is set as in Tools Options then Downloads.

Please let us know if this solved your issue or if need further assistance.

KarenJ49 said

I tried to Download Firefox but there is no "Run" option, just "Save", "Save As" or "Cancel. What do I do now?

While Firefox for Windows from *.mozilla.org like say www.mozilla.org/firefox/all/ is safe, unless you trust the source and file you should download it and scan it first to be safe. If you are downloading from a random site how do you know it is not really a iamreallyatrojan.exe

I feel that users should have the option to "run" programs if I so choose. They can determine what is an acceptable level of "security" in their environment. I have antivirus real time scanning, so this is not a concern for me. I had been using the add-on OpenDownload² which gave the "run" option for downloads for many years without issue.