Several versions of Safari, at least version 5.1.x, can show erratic behaviour when trying to display this menu – clicking the button "Save File" doesn't seem to have any effect. Some versions, such as 5.1.1, will open your Finder and take you to the respective file and folder, from where you can install or copy the file to your local hard disc.
Holding down the Alt-Button while clicking however will have the desired effect – no matter the version of your browser. Alternatively you can access this menu with Mozilla Firefox or Google Chrome, which will work as expected.