This is normally caused by the server that site is on not handling file types correctly. This was a big time problem when Apple first introduced the .dmg format. Very few servers were set up to handle it, so you had to tell the browser to download what was at the link. If you didn't, a bunch of incomprehensible text would show (probably the encoding for the file, make into acsii text).
you might have to contact the people who run the web sites, and let them know of the problem.