Well not really… it’ll happen only if you have kept the security settings on Microsoft’s Internet Explorer 7 to their most paranoid level.

This problem is not with Firefox, Firefox is just honoring your Windows security settings for downloading applications and other potentially unsafe files from the Internet.

According to Mozilla -

Starting in Firefox 3, downloads of executable files (e.g., .exe or .msi) may fail and the Firefox Downloads window will contain this message, under the filename:  This download has been blocked by your Security Zone Policy.

Lot of users won’t be facing this problem if they haven’t played around the security settings. But if you have changed the security settings then — open Internet Options (via Control Panel or from Internet Explorer -> Tools) and click the Security tab. With the Internet zone icon highlighted, click the Custom level… button. (which is default setting) A list of security settings for the Internet zone will appear. Find the “Launching applications and unsafe files” setting (under Miscellaneous) and select “Prompt (recommended)”.