Many people apparently have trouble downloading binary files through http. It can be done (I do it all the time), but many web browsers seem to be pre-configured to mangle them by default, and many web servers are configured to confuse web browsers by sending the wrong mime types for files. Every browser has a way to explicitly download a file instead of trying to do something with it.
In the Mac version of Netscape, dragging the link to the desktop works great. So does holding down the mouse button until a menu pops up and selecting "Save this Link as...", just make sure to pick "Source" from the menu in the resulting save dialog, not the default "Text".
In Lynx, select the link and press 'd' to download. It should retrieve the file and prompt you for a name to save it under.
In most versions of Mosaic, there is a menu item called something like "Save next Link". Select this menu item and then click on the link, and it should get the file and prompt you for a location to save it.