You're getting the Open / Save / Cancel dialog for a file from ads.bluelithium.com? Does it show the name of the file?

bluelithium.com is a Yahoo domain. Does the dialog seem to be related to use of Yahoo?

The name is "application/octet-stream. I never open or save. I always cancel. I visit 2 Yahoo sites - AT&T e-mail and Flickr.

As an experiment, if you save the file, the Downloads dialog (Ctrl+j) should show the name and origin of the file on the server. You can fairly easily delete the file after that by right-clicking its entry on the Downloads list, choosing Open Containing Folder, then pressing the Delete key when the folder opens with that file selected.

That would get rid of the immediate download but wouldn't prevent repeated appearances.

Sorry, I didn't mean that was a solution. I want to know the URL of the file, and I can't think of any other way to get it other than to save it once and get the URL from the downloads list (right-click > Copy Download Link).

Don't want to download. Don't know what I might get (Virus etc.).

Well, there are multiple ways to block a domain, including ad blocking add-ons, your external security software, and the Windows hosts files. Judging from the first three letters, I suspect you won't miss any important content if you just completely block ads.bluelithium.com.

I don't use any ad blockers myself, so I can't recommend any in particular. Note that whenever you adopt blocking lists from others, you may encounter occasional problems accessing sites you want to use.

Tried the blocker add ons. Didn't work!

If it's not from a web page, an add-on might be pulling it. A standard diagnostic for interference by add-ons is to try Firefox's Safe Mode.

First, I recommend backing up your Firefox settings in case something goes wrong. See Back up and restore information in Firefox profiles. (You can copy your entire Firefox profile folder somewhere outside of the Mozilla folder.)

Next, restart Firefox in Firefox's Safe Mode (Diagnose Firefox issues using Troubleshoot Mode) using

Help > Restart with Add-ons Disabled

In the Safe Mode dialog, do not check any boxes, just click "Continue in Safe Mode."

Any change?