If you are doing something like right-clicking on a link and selecting something similar to "Save link as...", then the problem might be that the server you are connecting to is misconfigured, and sending the wrong mime type, confusing your browser, causing it to save the file incorrectly. That shouldn't be a common problem these days, but misconfigurations on the web server end, especially on old sites, could definitely still be a problem. And if that's the case, you'd have to get in touch with the webmaster, get them to fix it.
Hope that helps.
Intl Program Manager