Mac OS:
Click and hold your mouse button down on the file link until a pop-up menu appears. Choose "Save This Link As..." or "Download Link To Disk..." from the pop-up menu. A dialog box will appear. Choose where you would like the file saved. Click the "Save" button. If given a choice, make sure to choose "Source" not "Text" in the "Format:" pop-up menu in the dialog box.

Windows:
Right-click on the file link until a pop-up menu appears. Choose "Save This Link As..." or "Save Target As..." from the pop-up menu. A dialog box will appear. Choose where you would like the file saved. Click the "Save" button.