Right click on the file you want to download and choose "Save Target As".
Choose what folder you want to download to and your download will begin.

There's a quicker method for those of you with an ftp client. What? Don't know what
ftp is. You should really check it out. Download multiple files at the same time, cue
files, auto downloads, etc. It's really alot nicer than downloading via the web.
Ftp client users click on the "ftp" link instead of the "download" link.