I wasnt sure about downloadable exe files though... so just googled.... it seems like its now a security feature in FF so that it can be scanned by AV before running.
It does appear there is a firefox extension though to give you back the 'run' option.
See http://support.mozilla.org/en-US/questions/945138
That's the one............ FF Addon.
I think with mentioning the PDF may have thrown us of track a little, but the second solution is the one I wanted.
So it must be something else MS have done away with in one of their updates, and yet or maybe the other PC has not yet download the particular IE update that does away with the 'RUN' command.
I was thinking it was a setting that I had adjusted but could no longer find and believe you me I tried.
So thanks once more, Kitz to the rescue once more.
Edit:
I had a problem trying to get it to install, so downloaded it to the desktop, then instructed the the add-ons section to install from the file on the desktop which is now showing in the add-ons so should now be ready to work, so I'm off to find a file to test it on but will let you know if I have any problem with it.
https://addons.mozilla.org/en-US/firefox/addon/opendownload-10902/Edit2:
Just a confirmation, although the add-on was installed through firefox, is also works when using IE.
(So even better news)