It depends. Sometimes it will ask what I want to do, open with LS or save the file. If I open with Logon Studio, it opens the LS window and shows the new logon in the preview window.
And other times, it won't give me a choice, it will just save it.
That is with Firefox.
I rarely use IE, but the last time I did, it saved the logon as a .zip instead of a .logonxp. And it was one of mine, so I know it was a .logonxp file. Who knows?