The download menu automatically appears when you download a file with Firefox builds 97 or newer. You can disable this setting, so the download menu no longer appears.
Example of the Firefox download menu:
Video tutorial:
Open a new tab and type in about:config and press Enter.
Click Accept the Risk and Continue.
Type in browser.download.alwaysOpenPanel in the search bar.
Click on the two half arrows so that it says False.
If you change your mind later, the arrow on the far right will reset this to the default setting.