It look likes you need to do little setting in your browser to be able to download file easily
There are 2 solutions:
- Change Your Browser Configuration - IE | Firefox
- Try Download Manager Like - FlashGet
Go to : Tools > internet options

Go to > Security tab

Click custom level

Under DOWNLOADS
First option: Automatic prompting file downloads
Click Enable, then click Ok and again OK

Go to Tools : Options

Click Applications tab > Search mp3 > It Will list all related results > Now For All Content Type's Saying MP3 or MPEG Layer 3 Audio Select Save File in right side drop down list (under Col Action)

Now Restart browser and Enjoy
Go to Tools > Options
Under Monitor Tab make Sure your settings look like Screen shot below:

After This make sure browser monitroing enble
Now Try Download > Right Click and Use option Download With FlashGet

Firefox users suggested to install Firefox Addon FlashGot (https://addons.mozilla.org/en-US/firefox/addon/220) with FlashGet