How do I stop automatically downloading exe files before I see the file size?

When I click on a file link (eg "setup.exe" or "") from a website it asks where I want to save the file and shows the file size, but the download has already started in the background before I have clicked save. I have a fairly fast connection but limited download allowance so if the file is large I will cancel it, but a few MB may be downloaded before I can stop it. If I use right click -> "save link as..." then it does not start downloading before I click save but it does not tell me the file size either, I have also changed the prefetch settings which has not solved the issue.

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