When you click on a link to a filetype, you should get a box with the title "Unknown Filetype." The easiest thing to do is to choose the "Save File" option.
If you want to associate a file with the application that is normally used to launch it, see the instructions in "associating the appropriate application" If the file is a sound file, Netscape should automatically launch the netscape player to play the file for you. (See Sound Files)
If you want to be able to save a file to your local drive but instead it automatically launches a different application, hit the SHIFT button while you click on the link-this will bring up the Save As box instead!
This will get you a Save As box like the one here on the left. Choose a directory that you will remember and save the file there. (*note: it is best to have a special folder just for downloads. You can create such a folder in the File Manager (or Windows Explorer) or click on the My Computer icon and make a folder on your hard drive labeled something you will easily remember)