OT: data url scheme

Okay it seems that Mozilla implements the data url scheme,
ftp://ftp.isi.edu/in-notes/rfc2397.txt I'm somewhat unclear on this
though, it seems to me that the implementation is wrong from reading the
text of the rfc, if I have the data url  data:,A%20brief%20note as shown
in the rfc I suppose that when a link with that url is clicked on that a
new virtual document should be created and the value of the data
fragment is written to this document.body 

Instead Mozilla opens up a dialoque box asking me if I want to open this
file using another file. Tried to choose to open it with notepad but it
didn't seem to work. 

The example of using data: with an image works.