Mozilla and downloading

This thing keeps annoying me. Mozilla insists on saving the .exes to disk then having me run the file from explorer. Yes it opens the folder for me, but now there are 200 executables in there and its getting harder to find the new files quickly. I read in the mail archive its to protect the users and la la la. Concider this, how is seamlessly downloading the file to c:temp then running it from there and me downloading it some place else and running it any different? My virus scanner will pick up on it either way.

Also its quiet pointless as you can run .msi files, which work more or less like an executable. So all someone has to do is make their .exe an .msi and it will run anyways. Windows has dozen of other extensions that can be run as well.

I don't care if its a secret option deep down in some configuration file or whatever. I just want to be able to have Mozilla download executables I just want to run once to c:temp then run them and delete them when the program ends. Is that too much to ask?! Require me to setup an anti virus program and automatically check it before it runs. Anything.

This isn't security, its just an annoyance.