The title says it all. Every time I download something, clicking Open Containing Folder when the download is finished, it says Choose Application and I don't know what to do. I use Firefox in Kubuntu.
In Kubuntu if you want to open the downloaded file's directory, you would choose Dolphin, as it is the File Manager for KDE, and therefore for Kubuntu (think Windows Explorer on Windows). If you would like to open the downloaded program directly, then it would depend entirely on what type of file was downloaded.
Once Dolphin is chosen as the desired action, you can choose to have Firefox remember the association with Dolphin so that you do not encounter the Choose Application dialogue again.
Alternatively, you can always open Dolphin from the Kickoff menu and browse to the Downloads folder in your Home directory, which will get you to the same place.