monline

On Windows if you open a file on a webpage the browser saves it to your temporary directory, then launches it with the selected program. On Mac OS X the file is saved to the "system download directory" (the one you can set eg. in Safari) and is never removed ... unless you do it manually. Check this article at macosxhints.com for the solution (which consists of setting the download dir in Safari to "/tmp").
Another solution might be using an extension like OpenDownload.