Bank statements will only save to disk, and cannot be opened directly in Money.
The problem is that when you download a statement (OFX) from the bank, the downloaded file would previously open directly in Microsoft Money, but now it does not do so. If the only option when downloading is "save to disk", then it is possible that you need to change your Internet Explorer settings as detailed below to give you the choice of opening it in MSMoney or saving to disk.
In Internet Explorer, go to Tools->Internet Options, and under the advanced/security option, uncheck the option "Do Not Save Encrypted Pages To Disk".
This is illustrated below.
See also
FAQ Article 178 - Resetting the file association in Microsoft Money
Keywords: Statements, OFX, Encrypted