This problem applies to any browser that uses an Adobe Acrobat plugin to display the PDF file in the browser itself.
If using Firefox, you can set this up automatically by using the following steps:
Select Tools > Options > Applications.
An Options dialog will appear.
For Adobe Acrobat Document set Action to Use Adobe Acrobat (in Firefox), which requires you to have the latest reader update (i.e. at least version 9.3), or Save File to bring up a dialog asking you where to save the downloaded file.
Based on testing we have done, it appears that Internet Explorer does not have specific settings to use the plugin or save the file.
If you would like to save file to your machine and not open the file from the web browser:
Right-click on the link.
Select Save Link As if using Firefox or Save Target As if using Internet Explorer to save the file