Hmmmmm, you should get *this* when you click on that link:
You should select "Save", and then you should get another window asking you where you want to save it. Could you try it again?
I had that trouble too. I didn't have any boxes to click on - just a link. And when I clicked on the link I just got a page with a lot of numbers and letters. But what I did was right click on that link, and when a menu came up, I chose "Save Target As..." Then the box to save it came up.