Edit -> Preferences -> Applications Tab
Thanks. But to use that I will have to add all the MIME types that I'm likely to download to Firefox.
To me this seems like a bug, because this behaviour only happens if I install SMPlayer or Audacious (possibly other programs as well). Without those programs, it correctly opens my file manager.
You do not have to add all the MIME types. If you click an application category a drop down box will appear with several options. The options are to save/download the file, always ask the user, or choose from the available MIME types. When you install SMPlayer or Audacious, the MIME type is automatically added as an option.
Here is an image of the application panel. Apologies in advance, it is a MS Windows image but the options are the same.