In order to open the folder which holds a downloaded file in Firefox, you do not select any application at all. Instead you proceed like this:
Inside Firefox go to Tools => Downloads (or press <Strg><Shift>Y). Right click on the downloaded file and from the context menu select "Display target folder". This should open the default file manager - whichever this may be on LMDE, it is Nautilus on Lisa - and it will display the appropriate folder.
Enlightened by Lucid Lynx, enchanted by Maya Mint, productive on Precise Pangolin's Minty sister