I've just found out what the problem is and is not related to the browser itself but to the anti-virus on my PC.
The anti-virus installs by defect an extension when installing a new browser, but because I didn't install the extension when I got CCleaner browser installed for every download I was getting the annoying message.
My solution was to install the anti-virus extension in the browser and now I no longer need to choose between "keep" or "discard" the file.
Problem solved!!!