I've never used safari but maybe this is what you're after.
"You have to go to the preferences and uncheck automatically play safe files. Then download one of the files you want to launc and control lcik on it. Choose the open with dialogue and proceed. "
Those are instructions from some forum on how to specify which application you want to use to open a given filetype but it might let you force a confirmation dialogue each time you start a download
EDIT: If you trust the 3rd-party who wrote the app. then this is probably better;
"You can set the application preferences you want with the 3rd-party preference pane RCDefaultApp:
http://www.rubicode.com/Software/RCDefaultApp/It works well. "
I've not checked out their site because it's ultimately up to you whether you want to use their application. I don't want to make a reccomendation on using an executable I've not tried myself