what's wrong with safari---stopping downloading automatically

there is something wrong with safari--after it updated to 5.1, when trying to downloading something, the download should be launched automatically after I clicking the file link(like a dmg file), now the page just skips to the address of the file and then ends with nothing, I have to right click the link and select "save the linked file as" to start to downloads.
I did not find any preference option about this, so what's wrong