It looks like right click and "Save Link As" does the trick.

I expected the "you have chosen to open" prompt, which one gets for .doc and .pdf etc.

And if you want to change download behaviour you may do so in Preferences > Applications. "Save file" or "Always ask" seems to be safest anyway.

Would seem to work in Linux. But in Windows Firefox (Tools/Options), the Applications dialog does not show .docx. And the instructions to add applications seem to require that the "You chose to open" dialog open when you click on a link to the desired kind of file. But when I click on the link to the ..../docx page, that dialog doesn't open and the browser tries to open the page.

This may be a bug?

I think you are right, it seems that the suggested way to add file types is "the first time you attempt to download a new file type the window at the right pops up". The file http://kb.mozillazine.org/MimeTypes.rdf seems to be storing these settings, but should normally not be edited manually.