In Internet Explorer, there is a very good option while trying to download something: Run (it comes before Save).
With this option the file (i.e an installer file) will be downloaded to
Temporary Internet Files and instantly runs after it's finished downloading. Then, the installation process begins.
After the installation, the installer source file will be deleted (I think so), since in many cases we don't need it anymore.
In other browsers such as Google Chrome or Firefox, this option doesn't exist. Is there any way to enable it?