Okay, I enter mozilla -> pokemon online and press the mirror (megaupload for example) and download it with the "Usual Download", and then a window pops up, saying "You have chosen to open Pokemon Online 1.2" and "What do you want Mozilla to do with your file?". Now i can choose between: Open File (and then "Open with ->" Some program, dunno which one to choose?) or I can choose "Save file". So I press save file, the "filegetter" (dunno the name in english, "Filhämtaren in swedish") downloads the file, and now I can choose to open it. But if i open it now an IE window will pop up, then dissappear and a new window will pop up saying "Would you like to Save or Open the file?". If i choose to open it, it'll just happen the same thing again.
So, What to do?