I work with citrix a lot in my office and then one day, I started to have to save the .ICA file and then click on .ica file to run citrix.

What I wanted was for it to automatically run the .ica file without first asking me to save the file first.

I researched for a long time on how to run downloaded file automatically but did not find a solution.

Today, I found the solution.

Go to Internet Options and uncheck Do not Save Encrypted Pages To My Disk like in the screenshot.

Now my ICA files run automatically on clicking.