Can't download from my link

I have placed some mp3 files into a folder in my httpdocs.
Then I emailed the link to a file.

When I select the emailed link, the mp3 plays. But I'd like to download the file, but I don't see where/how.

When I right click the link, my only choices are:
Select All
Look Up...
Translate...

The greyed-out (unavailable) choices are:
Cut
Copy
Paste
Clear

Shouldn't it be when I right click the link the choices should be
Save
Save As

I'm using IE, and the same is true when i put the url in the browser of when I Alt-F. Save is still greyed out.

How can I do this correctly so it's easy to download the file?

Thanks.

 

First I would dump IE and get a real browser, then I make sure you get the same results on FireFox.

 

Thanks for your reply, but being this is for a web site, I'll need it to work in IE, as well as, Firefox.