There are so many times when you see the download window and save to disk window in firefox popping up when ever you download a new file through firefox.
You can simply set the preference in firefox to change the behaviour of both the windows. Go to File Menu>>Tools>>Options–General Tab (see the image below)
As you can see in the image check the option which says "close it when all downloads are finished" and you can also check the radio button which says "Save Files to" and select the location.
Note: Above tip for firefox may seem to be very easy and well known but this could be of great for those who have just started using firefox as their primary browser.