Download Linked file

Set your Safari View menu : Show Status Bar.

When you pass your mouse pointer over the link to the file that you want to download, its website path will appear at the bottom of Safari. If it is not a specific filename.ext at the end of that displayed link, then the downloads on that site are sitting behind a content management system (e.g. Drupal, etc.) that presents an outward facing link to you that is a proxy to the internal file location on the website.

Sometimes, you can click that link and the site will show you the actual file to download (with the right-click), and sometimes, the site will just download the file, without providing a means to obtain it via a right-click.