Investigated a lil bit workaround of the problem. Would like to share what I found.
Concerning automation browser dialog boxes using Selenium in general:
There is no easy way to make Selenium download files because browsers use native dialogs for it which cannot be controlled by JavaScript, so you need some "hack".
Check this
Concerning ffox browser settings in particular, you can configure Firefox to automatically start the download and save the file in a specific place.
Or use that:
FirefoxProfile firefoxProfile = new FirefoxProfile();
firefoxProfile.setPreference("browser.download.folderList",2);
firefoxProfile.setPreference("browser.download.manager.showWhenStarting",false);
firefoxProfile.setPreference("browser.download.dir","c:\\downloads");
firefoxProfile.setPreference("browser.helperApps.neverAsk.saveToDisk","text/csv");
WebDriver driver = new FirefoxDriver(firefoxProfile);//new RemoteWebDriver(new URL("http://localhost:4444/wd/hub"), capability);
driver.navigate().to("http://www.myfile.com/hey.csv");
Hope this works for you