This drives me nuts too, though I see why it is sometimes useful. Maybe a check box as to whether we want to preview the file or not, developers?
OP, what I've been doing in the meantime is changing my browser settings to always ASK me before opening a file from a link, and then disabling popups. That way the "new window" doesn't pop up and thus the "Do you want to open or save this file?" dialog can't.
In
Firefox, do like this:
Tools > Options > Web Features
Check the top box, "Block pop up windows"
Then click the "Downloads" tab and check "Ask me where to save every file"
