You need to be using AWeb, IBrowse or AMosaic to download from here. Voyager doesn't currently support loading to local disk.
To get a file with AWeb or IBrowse, hold down the shift key and click on the link. With AMosaic turn on Load to Local in the menu and then click on the link, don't forget to turn load to local off afterwards ;-)
Wirenet - The UK's first Amiga-only internet access provider