Once you have found the item you wish to download, click on the file download link. Then for;
Zip/Doc Files - you will be given option to open or save the file
PDFs - the PDF will open in a new window, choose save from the file menu
Image files (Jpg/Png) - the file will open in a new window, right-click on the image and choose 'save picture as'.
Alternatively, right-click (PC) or click and hold (Mac) on the file download link and select 'save target as'. This will then give you the option of saving the file in a specific location and prevent the browser from attempting to display the file.