No 'Open with…' ? (if not, feature request)
Am I missing something or is there really no way to choose which program opens a download link. When you click 'Open', the default associated program is used. The only way to use a different program seems to be 'saving', then go to to the save location, and open from there. That's a workflow killer. So if that's really the only way, you can consider this a feature request for an 'Open With...' option in the download dialogue.
That option is not present at the moment, but I support this request.