I looked thru Firefox options menu. The only thing I could find was on the general page, all this had was where you want the downloads to go. What you have may be caused by one of your plugins. My Firefox, going back over several years and several updates, has never opened any download file unless I told it to. Are you using a download helping add-on? Check its options menu. Good luck.

Thank you very much for your reply ! I disabled my plugins in Setting> Content> Plugin and it still auto-open my downloads By the way, I only downloaded adblock and add a quit button plugin

Hmmmm......Well, I don't think its Firefox. What kind of files does this happen? All files, EXE files, music, video, updates? What directory are you downloading to? Do you have the same problem with other web browsers? If you haven't used another browser, try it with one of the web sites that you have the problem. Speaking of that, is it all web sites, some sites, a few sites? Are you using the Firefox downloader or another. Some web sites use there own download software.