said by Cudni:it is good to be sure, what happens when you click to download .exe in FF 2 ?
You didn't understand what is Windows Security Zone.
Try these steps:
1. download an exe with Firefox 2
2. save to disk
3. run it
result: when you run it, no warning is shown because the file has not marked by an alternate data stream
Since XP SP2, Internet Explorer 6 marks all downloaded files by an alternate data stream which tells it comes from Internet zone and so Windows shows this warning: