Click on the link with the middle mouse button, then enter a filename in the dialog box that appears, then select "OK" to proceed with the download.
Right click on the link and then select "Save Target As..."
Position the cursor over the link and press the "d" key, then select "Save to Disk" and edit the path for the save file as desired.
First select the "Options" menu, then select "Load to Local Disk", and then double click on the link as usual. After you have finished downloading files, you will want to revert to the original settings by repeating the first two steps again.
Press and hold down the shift key while clicking on the link, or right click on the link and then select "Save Link As..."