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1. You should only have to click on the Download link for the file that you want to download. When your browser asks you what to do with the downloaded file, select "Save" (your browser's wording may vary) and pick an appropriate folder.
If that doesn't work for some reason, on Windows you can click the link with the second mouse button (right click) to get the pop-up menu and select "Save Target As..." (again, the wording may vary).
2. It is strongly recommended to use a download manager if you're downloading large files. Internet Explorer does not support download resuming, and will not help you out if there is a problem with your download.