no longer possible to download exe files (say Cancel in the download window

Hello Monin.

You may be having a problem with some extension or plugin that is hindering your Firefox's normal behavior. Have you tried disabling all add-ons (just to check), to see if Firefox goes back to normal?

See http://kb.mozillazine.org/Unable_to_save_or_download_files

I desactivate all the complementary modules and its still not working. Its working with Chrome...

Have you tried your Firewall settings? Some firewalls may block exe downloads, but sometimes they may miss Chrome because of its sandbox model...