Before you download, make sure that the Confirm open after download option is selected. To verify this:
1. Click Start, point to Settings, and then click Control Panel
2. Double-click Folder Options
3. Click the File Types tab
4. Scroll down to and click the .zip extension
5. Click Advanced
6. Verify that Confirm open after download is selected and that it is on find and not open
or you can
or you ca right click on a link and click
save as
hope this helps