I have tried using the shift key as shown in the instructions, but it automatically sends the file to Mass Downloader.
With my Firefox browser, I get the option of how to download when I click a link.
I even tried putting EXE in the "do not download these types of files" list, but it keeps trying to download them.
Please find the "MetaProducts Integration" add-on in the list of the browser extensions and disable it.
This should help.