If you're using a MAC:

When you control-click on the link,
be sure to select
“Download Link to Disk” or
“Download Linked File As” or
“Save Link As” from the little pop-up
which will appear.

(Never select "open"... Always select "download" or "save"!)

If you're using a PC:

When you right-click on the link,
be sure to select
“Save Target As” or
“Save Link As” from the little pop-up
which will appear.

(Never select "open"... Always select "download" or "save"!)

If "Save Target As" is unavailable in Microsoft Internet Explorer, you must turn off "Content Adviser" here:
Tools > Internet Options > Content > Settings