Browsers are designed to play media since this is what most people want (apparently). As Raz0rEdge noted, right click the link and select the save option (might be called "save as", "save target" or something along those lines).
Key combinations differ from browser to browser. In Chrome, option clicking will save the target (not control, which acts as a right click modifier or command, which will open the link in a new tab). I imagine that the key combinations are similar elsewhere.