This seems to be a common question that I hear frequently: How do I download a file from a Web site, but instead of displaying it in the browser see it as a file that can be saved (ie. see the Save As dialog)?
Normally when you link a file that file will always display inside of the browser because the browser loads it and automatically determines the content type based on the file extension. So when you click on a link like a jpg image the browser knows it's an image and will display that image. You can of course always use the browser short cut menu and use the Save Target As option to save the file to disk.
If you want to do this automatically when a link is clicked from the server side, you have to send the file back yourself rather and add a couple of custom headers to the output. The way to do this is to use Response.TransmitFile() to explicitly send the file from your ASP.NET application and then add the Content Type and Content-Disposition headers.