When setting up your SOCKS proxy (either socks 4 or socks 5) in firefox you may get a download prompt when trying to connect trough the proxy, this happens when your browser tries to connect to the SOCKS proxy using the HTTP protocol.

How to fix: You need to make sure that you uncheck the "use for all protocols" option in your firefox proxy settings and clear the proxy settings for all protocols except the socks one that needs to contain your proxy IP and port