From MozillaZine Knowledge Base

Why doesn't Mozilla allow me to run an .exe (executable file) directly from an Internet location?

This is a security precaution to help avoid malicious software getting onto your system or network. Not allowing a program to run directly from an Internet location allows you to make sure that what you are running is indeed what it seems, and to scan the file with anti-virus software if necessary.

Other files (documents) can still be launched directly from Mozilla.

Official 1.5 FAQ