The option/message seems to be different depending on what operation system and browser you are using. If you are on a Mac and using Safari the message says "Download Linked File". If you on Windows XP and using Explorer 7 it says "Save Target As…". If you are on a Mac and using Firefox the message says "Save Link As…". If I didn't cover your computer setup looking for an option that would allow you to download the linked file.
PROBLEM: "Download" option is grayed out.
1) Check the firewall security settings in IE. Sometimes they will take themselves to a higher level all by themselves and prevent "save target".. IE Security Settings to enables downloads (Tools > Internet Options > Security > Custom Level > Medium )
2) There are several bugs in IE related to how "full" your cache is. Try emptying your cache and see if that fixes the problem.
3) Sometimes the 'Content Advisor' gets switched on which can gray out the 'save target as'. Have a quick look at (Tools > Options > Content tab) and see if the 'Content Advisor' has been enabled.