For most browsers, clicking on the link will automatically enable you to download non-document files. Depending on your security settings, though, you may be prompted before being able to download:
However, in some instances, downloads will be prevented outright when clicked normally. Such is the case for the latest Chrome update. For those instances, right click on the link and choose Save as... or Save link as...
Once downloaded, you may be given a warning about the file not being secure. You'll be given the choice to Discard or Keep the file. Choose Keep.