If you have used Internet Explorer, as I have once did. You may know that there is an option to execute or run a file, usually a setup file directly while downloading. i.e The file will be downloaded to your temporary directory and it will be executed directly from there. The nice thing about this is that you can keep your downloads directory clean, void of any clutter from excessive downloads. The downloaded files will be deleted after 24 hours.
This can be implemented in Firefox also, with the help of Open Download extension. Especially useful if you want to install an application directly, without wasting any time or maintaining the files in your hard disc.