Problem on saving documents from IE8

Hi to everyone
can you please help me to solve this problem. My problem is when I tried to
save a file(pdf, doc, excel, ppt etc.) using the "Save Target as" on the IE8
by right click on the file link it give me the url not the file itself. I
tried this on other pc the same problem it saving the url of the file. I
tried uninstalling and reinstalling IE8 but still the same problem.
Pleas help.

Thank you.
Gerald