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?
, 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.
, 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"