I ran into same issue using selenium, im making the assumption that when that box pops up you always wish to download it correct?
I ended up running my selenium through firefox and created a custom firefox profile in order to run it. In doing so i was able to say any file type of CSV automatically save it to c:\temp directory.
Here is my below MimeTypes.rdf and preferences.js for firefox. Using selenium you have the ability to run selenium using a custom firefox profile, this is well documented and plenty of examples on the internet that you should be able to easily find. A quick search found this link for example: http://garbuz.com/2010/07/31/running-selenium-with-custom-firefox-profile/
mimeTypes.rdf (defines what files you want to auto download)
<rdf:rdf xmlns:nc="http://home.netscape.com/NC-rdf#" xmlns:rdf="#unknown">
preferences.js (you can basically take your current profile in firefox and add these two lines to it)