for me, a mac user with a mouse with a right click button, i right click on the link and it says 'open in new window' download link file blah blah blah, i click on the download linked file option then the little download window pops up and it shows up there. then when it's all downloaded i click on it and the window says "open with" sometimes, but usually, it will just open magically in itunes and delightfully stay there.
your mileage may vary, but that's how-a mine works.