Why did my browser refuses me to export XML projects?

Every time I try to export the project as an XML from file menu, my browser refuses me to download because it says that:

Why can this happen and how to resolve this?

It's some browser thing. Just click Keep. I'm not sure there's a way to get rid of the prompt. Of course, if you turn on ask where to download files, then that might also be a way to keep it from asking that.