downloading files

I currently access a website that has the ability to download selected files from the click of a hyperlink. (on the PC). The files come down and a dialog box opens with the downloaded file asking, to open it or save it.

When I try to do the same on my phone the website appears to be accepting depressing the link, however nothing appears on my phone and I cannot find the file anywhere. It may be downloading the file in the file structure but I cannot find it. My friend who has an iPhone does the same thing and the file opens up immediately on his phone just like you would on a PC.

I can open these files if they are sent to me in an e-mail but not by depressing this hyperlink on the website.

Anyone have any ideas?

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