In the Windows version of Firefox, if the user selects the "Open with..." option for a file on a webpage, the file is downloaded to the system Temporary files directory before being opened. In the Mac version of Firefox, the file is downloaded to the system downloads directory (The download directory one specifies in Safari and some others browsers, not the one specified in Firefox). This generally means that after viewing the file, you must manually delete it from your drive if you do not wish to keep it.
You can mimic the Windows behaviour simply by changing Safari's download directory to /tmp. To do this, open Safari's General preferences pane and, under Save Downloaded Files To, select Other.... In the dialog that appears, hit Shift-Command-G to bring up the Go to Folder dialog. In this dialog, simply type /tmp, hit OK, then hit Select in the main window.
From this point on, all files for which you select "Open with..." in Firefox will be downloaded to the invisible /tmp directory before being opened. The system clears this directory regularly, so there is no need to worry about manually deleting files you don't want. If you wish to move a file from this directory, you can either enter /tmp in the Finder's Go to Folder" field, or you can command-click in the title bar of an opened file in that directory to see the hierarchy.
[robg adds: Obvious but worth pointing out: if you make this change and then use Safari again, anything you download will also go into /tmp.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20061220141355424