Windows only: The download window in Firefox is helpful for quick opening of files, but not much else. Downloads Context Menu adds the usual Windows Explorer context menu to each file, so you can perform more tasks without having to open Explorer.
After installing the add-on, right-clicking on a downloaded file will bring up the usual context menu for downloaded files. If you go to the new "File" option, however, a second context menu will open up with all the usual actions that you would be able to take on that type of file, making advanced actions like running a program as administrator or extracting an archive a bit quicker and easier — without rifling through your files.
Download Context Menu is a free download, Windows only (Firefox required).