That ain't a W7 "issue", that's the way that your friend has set things up (probably by accident) as it sure don't do that on my W7 setup when I use SWRIron (Chrome without the google crap), IE or Firefox..........
Oh, there is another way. Your friend has maybe opted to "run" or "open" something he has downloaded instead of actually saving it which means it will go into a weird temp folder instead of actually being saved properly.
Either way, your friend is the issue.