when i save files from internet, the File Download dialog box do

when i download attachment from internet,
the File Download dialog box does not appear.

Problem likes the following:

click the download attachment(it works).

the "do you want to open or save this file" window appears(it works)

then, after I click the open or save button, the File Download dialog box does not appear.

please helppppppp. because so my friends email me some files, I can not open in my computer, but I can open them from other computer.