As for me, besides what I have already said, I am usind a standard shared hosting service, with linux/apache/mysql; wp is installed in the root directory; two writable, executable xml/xml.gz files are in document root. I have an .htaccess with the usual url rewriting and antileech stuff.
I use the last Bad Behaviour plugin, as afar as I know this issue is unrelated to other plugins.
The result is that when I rebuild the sitemap, it opens a save/open file dialog for “options.php”
If I modify or write a post, it opens a save/open file dialog for “post.php”
Arne’s sitemap plugin works well in another blog of mine, an almost identical setting, but hosted elesewhere.