activating a download

[kbrown7]

OK sorry but I still don't understand!
I am using safari to navigate a page  now at the bottom of this page are around 
25 ish links to download an audio file. when using windows I would use the 
aplications key and save as etc. then the download would start.
How do I do this action using safari? 
I am  using tiger until my leopard arrives. thanks 
Keith