Some additional information:

The problem occurs with Palemoon 26.1 only, the previous version 26.0 was OK in this respect.

Furthermore, the problem looks like being related to Issue 114 (see http://bugs.conkeror.org/issue114),
but the solution proposed there does not work.

Finally, I have succeeded in the meantime to make firefox work together with conkeror [the problems
related to firefox will be reported separately], and fortunately this solves the issue. With Firefox 44,
files are downloaded and opened in an external program as expected.