It sounds like it's behaving as it should. Something that's downloadable,
when it opens with a downloading dialog box asking them where to save it,
won't launch automatically when it's done. It will only save the file. So it
sounds like it's behaving as it should. When the browser does know what to
do with the file it will attempt to load the appropriate viewer for that
file. For example, if you create a link to a PDF document, it will open in
the browser without ever showing the download dialog box. If instead, the
PDF file is placed in a Zip file, the browser will prompt the user to
download the file instead since it doesn't know how it can display the Zip
file.
Basically, if it's in a file format that the browser doesn't know exactly
how to open it will simply download the file after asking the user where
they want it. Otherwise the browser will try to launch the appropriate
viewer. You are not doing anything wrong, you just have to figure out which
files behave in which fashion normally.