No, FF just makes it seem that way. I forget exactly what causes it, but whever you first start the download it appears that it's going to go way fast, but it slows down and goes just as fast as IE.
God, I downloaded the latest beta for something or other, and then once the program downloaded, it sat there and did a virus scan for like five minutes. And you couldn't cancel the virus scan or anything, it just sat there and spun. So no, if anything, from the start of the download to execution time, I'd have to say Firefox is definitely not faster.