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When you click a download button using Mozilla Firefox, you see a limited amount of information about the file. Your only option is to save it and then open it from the Download Manager.
Firefox uses Google’s Safe Browsing feature (which I discuss later) to block known unsafe sites. In my testing for this post, none of the sites that were actively delivering malware were blocked in any way by Firefox, nor did it do anything to prevent me from saving a malicious file.
For a more detailed discussion, see the companion blog post, Who makes the best Windows security software? Surprise ...