Could you check how your Firefox is configured for PSD files on the Preferences page. I don't know whether it will be listed under PSD or PhotoShop. If they are set to open automatically, you can change that to Save File or to Always Ask. More info in this article: Manage file types and download actions in Firefox.

Was that it?

If not, do you maybe have an "Open in Photoshop" add-on? You can view, disable, and often remove unwanted or unknown extensions on the Add-ons page. Either:

• Command+Shift+a (Windows: Ctrl+Shift+a)
• "3-bar" menu button (or Tools menu) > Add-ons
• type or paste about:addons in the address bar and press Enter/Return

In the left column of the Add-ons page, click Extensions. On the right side, find the "Manage Your Extensions" heading.

If there is at least one extension before the next heading -- "Recommended Extensions" -- please continue:

Then cast a critical eye over the list below that heading. Any extensions Firefox installs for built-in features are hidden from this page, so everything listed here is your choice (and your responsibility) to manage. Anything that looks Photoshop-related, image-related, or has a name similar to Open in/Open with? While you're here, look for anything suspicious or that you just do not remember installing or why. If in doubt, disable (or remove). For your privacy and security, don't let mystery programs linger here.

Any progress so far?

Thank you! I did a little more investigation and realized when the download window came up, it showed "open file with the application." I changed it to just "download" instead. And now it's fine!

Thanks for pointing me in the right direction!