bug? I thought it was suppoused to do the inversed. When I was using it, it actually only had the option to save after you read the warning of posible virus, but the option to download was even greyed out. I had some problems with XP SP2 and I fixed some by resetting the security settings to a default level again (high) and then setting what I needed.
Note that with SP2 I had the same result using Windows explorer, so I am not sure why it is opening directly for you