Some web browsers will attempt to do you a favor by opening files directly in your browser, rather than prompting you to save them first. The exact list of files types that open in your browser vary, depending on the type of browser you are using. PDFs, JPGs (and other images), and MP3s are pretty common among the lists.
To force your browser to save the file, we have provided a "Save As..." link (sometimes represented by a floppy disk icon) next to most places where files can be accessed. Simply click on the Save As... link (which will retrieve the file link information) then right click the "Right-click Me" link, and select the menu option that allows you to save the item. The exact wording of this menu option depends on your browser, but you might see "Save Link As" or "Save Target As".
Be sure to check out the Downloading Files article for more information on how to access/download files related to specific items in WP.