That is odd, because it doesn't even specify a file name on the download dialog... You may want to get your host involved. It's almost as if your host doesn't have the domain setup to be able to use index.php as the default file, but it works for me, so..... hmmmmmmm...
Do you have any other files in the directory named index. or default.? Your browser may be interpreting a different file than the index.php as the default file. It's just odd.
What happens if you try to open it from the dialog box, instead of saving it first? Does the script run, or just display in the browser as text?