I can't explain what's going on then. I have never, ever had that happen when focus is on a link that leads to a file. It happens if the link leads to a webpage.
I have followed the instructions I gave "in the sighted way" and with a screen reader more times than I can possibly count. When focus is on a link to a file the one and only result is a Save as dialog being presented allowing you to save said file.
Brian - Windows 10 Home, 64-Bit, Version 1809, Build 17763
Explanations exist; they have existed for all time; there is always a well-known solution to every human problem — neat, plausible, and wrong.
~ H.L. Mencken, AKA The Sage of Baltimore