It also happens to me, on Linux and Windows -- it didn't happen a while ago, perhaps it's a new bug introduced in the later versions. Doesn't concern me much, I use Opera 99% of the time. Perhaps look through the firefox bug reports? Or get an older version of Firefox and see if it happens.
Also try looking through the config, by typing "about:config" (in the address bar) -- mainly the "browser.download" CVARs.
