When I download I only get the option that asks me where to save. Can I also get the option to print what I download or do I always have to save the file or email attachment first.
If the file or attachment doesn't open directly in Firefox, there is no way to have Firefox print that file or attachment. So, yes, you need to save the file, and then open the file in the appropriate program and print it from there.
You can look at this extension: