Hmmm, when you click on download it says "open"? That's what the "thingi" says? I've tried to reproduce this and as far as I can tell the "thingi" is asking you where on your PC you would like to download the object to. If you browse to a folder, it will give you the choice of opening that folder if there is another folder inside. Simply highlight the folder you want the download to be placed in and your PC will download it there.
This is after, of course, your PC asks you to "run" or "save", and is a direct consequence of choosing "save". You are simply being asked where to save the object on your PC, once it is downloaded.
At least I THINK that's what you are after. If I'm wrong and I shouldn't have replied to this post, then please forgive my monumental stupidity!