Gezim,

As Jen said, it would help if you could tell us which web browser you're referring to and perhaps what kind of problem you're having. Traditionally, on pressing a download link, you could press alt-s to save to your computer or alt-o to open the file without saving. With IE9, you now need to press alt-n before making these selections, which you find by arrowing.

There might be more to say, but there's no point in going on without knowing the exact problem.