It seems like you do it correctly and it's an error of the site. But to be sure we need details: on what webpage (full url please) do you click on what link (clear description please).
Does it work if you just double click to download it to your download folder? Then copy it from there to your USB stick?
I want to download a software onto a usb Flash Drive. When i Right click and 'Save Link As' all I get is a Document and not the Application or software wanted.
What must I do in order to get the Application / Software, every time, please? Step by step details would be appreciated. Thank you.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic