Was it a bar along the bottom of the window? That one refers to two kinds of reporting. Crashing reporting is enabled by default, performance data (telemetry) is disabled by default. Check out the attached screen shot.

If you saw a different dialog, I'm not sure what it was, but Mozilla doesn't collect downloaded files.

Thanks. The specific message I got (along the bottom of the screen) was very similar to what you attached in your response: "Firefox automatically sends some data (or perhaps it said files?) to Mozilla so that we can improve your experience". I also saw a button that said "Choose what you share".

However, nothing crashed; the file downloaded and opened as usual. I also do not remember seeing anything mentioned about telemetry or crashing.

Sorry, my picture wasn't that clear, you only get the options dialog opening if you click that button. If you leave the page without clicking the button, the dialog doesn't open. You can always check the current status of those boxes:

orange Firefox button (or Tools menu) > Options > Advanced > Data Choices

I was able to read your picture; no worries. What I was trying to say is that I believe I saw a message similar to the message in your picture.

However, I am not sure if the message I received said "Firefox automatically sends some data to Mozilla so that we can improve your experience" or if it said "Firefox automatically sends some files to Mozilla so that we can improve your experience".

However, nothing crashed; the file downloaded and opened as usual, so I don't think it was a crash report.

It definitely wasn't a crash report. That's a whole separate dialog.

So what could it have been? All I know is that some data and/or files were sent to Mozilla, which is not something I want.

Actually, neither of us knows whether any data was sent. However, I seriously doubt it because as you point out, Firefox did not crash, and if you do not have the telemetry box checked -- it is unchecked by default -- then no performance data was or is being sent.

That infobar displays once to all Firefox 20 users so that you are encouraged to check your settings. Nothing specific triggers it, and you won't see it again (unless you want to, in which case I can describe how to generate it).

You can look at the about:telemetry page to see some data that is being collected.