I have same Problem with Firefox 3.68 and AVAST 5.0.594.
The option "Automatically detect default locations for saved/downloaded files and save files to these locations outside the sandbox" is CHECKED. The JPG, GIF, TXT-Files are downloaded and i can see these files in the Windows-Explorer (User\Own Data\Downloads). But i can't see EXE, MSI and ZIP-Files. These can i see only in the Sandbox-Mode, but not in Windows-Explorer. With MS IE 8 i have not problems.
My System: Windows XP Pro SP3 32 bit. Sorry, my English!