By design Firefox 4 (or 5) doesn't allow you to "Run" a downloaded program from the download window (security is the reason). Instead you're required to download the file to a folder and run it from there.
If you're willing to accept the potential risks there is an extension which will enable the option.
After installing the extension you will have an 'Run' option when downloading program files.
See: https://addons.mozilla.org/en-US/firefox/addon/opendownload-10902/
