You can usually right click the download link, and select the option "save target as...". Sometimes you can even click the link, and a download dialog box will pop up and ask what you want to do. It's pretty nifty. Now please, look for the topics with how to download and install stuff. It's already been answered a thousand times by every other person who joins the board but are too lazy to actually read the FAQs or threads that everyone else started asking the very same questions.