Vista "can't find file"

I frequently download webpages for offline reference. When I double click one to open it, there's a five to ten second pause then a Vista error message pops up *listing the complete path to the file* and saying it can't find the file! Before I can click OK, Firefox opens and displays the file. When through reading, I close Firefox and then OK that ridiculous message to close it.

Why on earth is Vista telling me it can't find the file when it lists the complete path to the file in the same message?! And how do I eliminate this asinine behaviour?

(It doesn't matter where I save the downloaded file.)