I just clicked the download link in Firefox and it plays the media in the current window. Depending on your browner, it may open the media into a new window. You need to right click and select 'save link as' if you want to truly download the media file, becuase you most likely have a media player associated with that content type.
If you uninstall QuickTime, Windows Media Player, WinAmp, etc.. from your computer, then click the download link, you will be presented a save as dialog. But in most cases you have some media player installed on your computer, thus the download link is playing the media for you.