My computer is having a problem with downloads. Instead of the “save to” dialog coming up there is quicktime symbol coming up and then when the status bar says done there is a picture kind of like broken movie film. It is not the ftp site since I have seen it work on other computers.
Try right-button clicking instead of left-button clicking the link. Sounds like your computer already has an association for that file type so it is trying to play it from its current location.