When you click on the link of a .pdf file to download, your browser will either:
Open the document in the browser window.
You can browse the document and print it directly from your
Open the document in Acrobat Reader automatically.
If your browser automatically opens the document in it's native application or reader, you will have the option to do a File/Save to capture the document to your local computer.
Or prompt you to save the file locally.
If your browser prompts you to download and save the file, store the file. You will want to carefully note the location you save to so that you will be able to finde the file when the download is completed.