It depends of what browser do you use.

For example in Internet Explorer when do you want to download a file you have three options:
- Run (opens the file without saving it to your disk)
- Save (saves the file to your disk)
- Cancel

In Firefox you cannot open directly some files (for example an .exe file) without saving it to your HDD first, but you can open for example a document file.

In Netscape you have 2 options:
- Open it with (you can choose a program to open your file)
- Save (save to your disk)

In Opera you have 4 options when downloading a file:
- Save
- Open
- Cancel
- Help

Maybe you are using Firefox or another browser where you can't open some types of files without saving them to HDD first.