Man, I really miss FTP. I remember when you would just FTP to the site you were using and grab a binary from their /pub/. Mirrors were plentiful, and FXP could distribute files without needing a shell on a file server.
(Of course, there would be plenty of attempting to read from the C:\ drive too, but that didn't make a loud, unexpected sound like reading from the floppy drive did)
Simple times.
Also, consider that right-click save as works the vast majority of the time and the exceptions are for content which simply wouldn't be available (e.g. video streams) for direct download due to IP concerns.