Right-click with your mouse on the download link (or image etc.) for options - select 'save target as' or 'save as' (dependant on browser) - you will be presented with a download window, and can select where on your PC to save the file to.

Hold 'Ctrl' on your keyboard and click on the download link (or image etc.) with your mouse - you will be presented with a download window, and can select where on your Mac to save the file to.