First, you have to modify what Safari considers as a “safe” file. Check the option Open “safe” files after downloading in Safari’s Preferences panel.
The next steps after this are very Geeky requiring editing of a plist file. I did this awhile ago and it worked great for connecting to my EMR via Citrix, saving me the time from always having to download then click on the Citrix File.
You could do the same thing in a less Geeky way with Hazel.