Left clicking on item will display Open/Save/Cancel dialogue box. If you select Save, you can save the file to your computer and access it with your choice of appropriate application. Selecting Open might result in the file being opened in an audio player or text processor depending on file type, but it might also seemingly hang your browser if your target applications aren't configured appropriately. Cancel, of course, will cancel the operation.
Right clicking gives you among all the various options the ability to Save Target as ... which is exactly the same as using the Save option in left clicking.