Thanks very much for the answer GMM and for giving the solutions to this 
 
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 GMM wrote: 
 A temporary fix: first, start Filter Forge 2.0 and only then download the filter. The filter will open in the currently running program.
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Great to know that when downloading the filter it goes first to the Filter Forge that is already OPEN and currently running and not to the default
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GMM wrote:
  A permanent fix: set up your browser to handle the 'filterforge' protocol with FF2. In Firefox, it is here: Tools > Options > Applications > filterforge protocol. You will need to point it to your FF2.0 location.  | 
 
Great to know also that it can depend on the browser configuration you use to open FF2 or FF3, and so I think also that this way, I could configure if I want a browser with FF2 and another browser with FF3.
But I think that I will use by now the temporary fix opening before downloading the version I want to use.