Regarding the option that appears on most browsers when accessing links to files, the choice usually depends on the intent. If you only intend to access the file, for example a video or audio file, choose open. If you want a copy of the file for the future, save it.
Also, if installing something from the internet, e.g. an emulator or other software, hit "open" or "run" on the first file. The system should do the rest.