Help clicking

I need help.
Sometimes when I click on links a window pops up asking do I want to download it.
Anyone know how to stop this?

example.
Coming into this part of the forums, I clicked "computer and tech" and a window like that popped up.

 

What exactly is it asking if you want to download?

 

expon already fixed this so you dont have to worry about it, it shouldnt appear anymore

 

Thanks, it's not popping up no more.
This can be closed and/or locked.
Thanks again.