Finder window behavior after DLing a file

As far as I know, I don't think so. You can get by by just clicking on the Finder icon on your Dock, or my favorite, hold down the command/apple button and hit tab. This will bring up the app switcher which, while still holding down command, when you hit tab each time will cycle through the open applications. Furthermore, with the app switcher open, you can use your mouse to select an application.

Or, if you have FF set to auto decompress/open the download, you can also activate Hot Corners on your mac so that every time you move your mouse to a certain corner of the screen, it can activate any of Exposes features (such as showing all open windows/apps).