You'll need to be a bit more specific. What file types/dot extensions are you trying to open? And it looks like you're using Windows 10, right? Sometimes there could be a workaround.

Firefox always need to download a file to be able to view it locally.

You can set browser.download.start_downloads_in_tmp_dir => true on the about:config page to make Firefox use the OS temp folder for downloads you open in an external application.

You can open the about:config page via the location/address bar. On the warning page, you can click "Accept the Risk and Continue" to open about:config.

• https://support.mozilla.org/en-US/kb/about-config-editor-firefox

What if that .exe you are trying to run without scanning it is a Iamreallyatrojan.exe unless you know it is a safe source.