I believe that it would be a great security feature if in order to download a file to your computer Comodo Dragon required confirmation. This should probably be an optional feature, but I believe it would greatly increase security.
For example, I just clicked on a google search result and it immediately downloaded a .doc file to my computer. Now this time it wasn’t malicious, but this won’t always be the case.
I think you should pay attention to what you are clicking on. ;D As long as the file doesn’t auto-execute, then auto-downloading the file shouldn’t be a problem.
If that were ever implemented and personally I hope it’s not; it definitely needs to be an optional setting because that would drive most people insane.
As mentioned below by JoWa; all you need to do is change your settings to “Ask where to save each file before downloading” and your problem is solved.