Checking 'do this automatically for files like this from now on' in your browser should work okay when using the Mendix client.
When I check the box and execute the same action straight away, I get the same pop-up with the same checkbox (= my preferences werent' stored!).
And if you reload the client (F5) and try it again? Do you have the same problems in other browsers?
No that doens't solve the problem. For some reason Firefox doesn't store these preferences correctly (as stated earlier, IE works fine)
The strange this is that the checkbox 'do this automatically for files like this form now on' is set to 'true' after I've set it to 'true' once. So firefox knows my preference but doesn't handle my preference correctly for some reason...