Hi john webb, and welcome to TSG.
Some more information may be needed before anyone here has a chance of helping out.
1) What is your operating system?
2) Are you trying to download the file using your web browser, if so exactly what web browser are you using?
3) Does the web browser allow you to play the midi file instead of downloading and saving it?
4) Can you download and save any other types of files without any problems?
5) Does this only happen on one particular web site or do you have the same problem with any midi file on any web site?