Simply clicking the link should cause the form to open in a new window, but if it does not, right-click (or Cmd+click) the link to the file and select Save Target As (or a similar choice such as Save As..., Save File..., etc.). A dialogue box will appear, asking where to save the file. Choose a location you'll remember, such as Desktop or My Documents. Once the download is complete, open the file from the folder you chose.