DNN adds a specific "header" to the download called "content-disposition" which tell the browser to treat the download as an attachment, which should trigger the open/save dialog box.  However, IE often ignores this instruction, and opens the file inline instead.  The only way to address this is to change your browser/plugin settings, or right-click and choose "save as".

As for your other question: Sorting enhancements are certainly a candidate for a later release.  I didn't include the "ascending/descending" option originally because I couldn't figure out a "friendly" way to present the option in the user interface.  But I think I have come up with a good way to do it now...