Microsoft added a new feature to Microsoft Edge that will now allow you to choose "Open" or "Save" options for downloaded items before the download begins. This is called as the new download GUI. Though this feature was there in the old legacy Edge browser, Microsoft recently added it to the Chromium-powered Edge.
If you are running the latest Edge Canary or Edge Dev build (version 87.x or higher), you will have to turn ON a setting to experience the feature. Here's how you can enable the new download UI in Microsoft Edge. Follow the steps mentioned below.