On previous versions of OS X I used to be able to go to a file in Safari, click and drag on the favicon and take it over to my downloads window, which would then download that file.
So for instance if i was listening to this file and wanted to download it in Lion. All I had to do was drag the icon in the address bar over to the download window.
Now I can't do that anymore. In fact I have no idea how to download that file except to make a webpage with the a href and then right click the link.