I'm going to expect you to be running windows....Probably XP (But its should work on any windows version.)
Using the same browser that you used last time. Goto the link again and rightclick and Save File As.
It should then give you a box asking you where you want to download it to.
Make a note of where this is. Without actually setting the file downloading again open Windows explorer and look where the file says its going to save to. If the file is not there then try downloading it again (If its not too big a file.)
DO NOT CLOSE THE EXPLORER WINDOW
When the download starts the file should appear in that window. Once it says its finished find the file and try single left click then pressing enter rather than D-Clicking the file.
And in future try always downloading files to a certain folder all the time, and moving files from there to wherever they need to go.
Hope this helps.