Ok, here is what I have discovered after about an hour of experimenting.
Tried opening .pdf, .doc and a few others in Safari, Firefox and Opera. And also tried yahoo mail, gmail and hotmail on my MBP, my wife's MB and an XP machine just to test the differences.
Safari's preference settings for Downloads does not have an option to ask you every time, and you must specify a location. It will not allow a blank location for downloads.
First off, from within the e-mail web pages themselves, there is no 'Open' option. There is only 'View as HTML' and 'Download' (yahoo's is 'Scan and Download' as it uses Norton to scan all attachments prior to allowing them to be downloaded).
With Safari - when you click that Download link for the attachment from within the browser - it is going to be downloaded and saved to the location you have specifed - period - no option that I can find to change this action. And no pop up window to allow you a choice of options either. The only preference setting you have is whether or not you want it to open "Safe" downloads when they are complete or just download to the specified location.
With Firefox - There is a preference setting available to either choose a location for your downloads or to ask you for the location every time.
Now Firefox does give a popup window after clicking the download option in the browser window and asks if you 1) want to open the file or 2) Save the file to disk. If you choose 'Save to disk' - it will save the file to the location you have specified in the Firefox preferences. However, if you choose 'Open...' it does open the file, but it also downloads it to the location you have specified in the Safari preferences - not the location in your Firefox preferences. So basically, Firefox is treating Safari's preferences as system settings and does not override it unless you tell it to save to a different location.
With Opera - Same as Firefox - once you have clicked on Download on the attachment - you are presented with a popup window with the options of 'Open' or 'Save'. Save does save the file to the location you have specified in Opera's preferences. 'Open' does just that - opens the file and does not save the file to your hard drive as Safari and Firefox do, unless you choose to save the file at this time from within the application that was used to open it.
Opera's window is also the only one of the three that allows you the option at that time to choose the app you want to use to open the file rather than just using the default.
So, bottom line, to do what you would like - Opera is the one.
For me - just another reason to continue with Opera as my browser of choice.
One thing you might want to do also - which I have done - in my home folder I have created a folder called Desktop Items - this is my default location in all browsers for this type of stuff. This way it's still all in one place, but is not putting stuff all over your desktop all the time. Remember to go in and clean it out once in awhile though. I also keep another folder called Downloads which is used only for saving downloaded program files rather than the Desktop.