Your browser is attempting to open the link instead of downloading it. Which browser are you using? This tends to happen a lot Safari. If that is the case you would need to Right Click and save the file or hold the Option key while you double click the file in the activity window. If you are using Internet Explorer, right click and save the file to your drive.
To change the "always open" setting in Internet Explorer:
- In Windows Explorer, click on the "Tools" menu, choose "Folder options"
- In the window that appears, click on the "File Types" tab, and scroll through the list until you find the file extension you want to change (they're in alphabetical order). For example, if Internet Explorer always tries to open .zip files, scroll through the list until you find the entry for "zip".
- Click on the file type, then the "Advanced" button.
- Check the "Confirm after download" box, then click OK > Close.
For Firefox & Chrome
Right click and "Save target as"