A kinda hackish way is to use a bookmarklet.
I just created one that pops up a prompt for the URL (http:// is necessary). When you enter it, it will create a popup box with a hyperlink to that URL or, if that popup already exists (i.e. you've used the bookmarklet on the same page before) it will add the hyperlink to that box.
var bkm_url=prompt("URL:", "http://");
if (bkm_url!=null) {
if (typeof(bkm_nw)=="undefined"||bkm_nw.closed){
var bkm_nw=window.open("", "", "width=200,height=50");
}
bkm_nw.document.write("<a href=\""+bkm_url+"\">"+bkm_url+"</a><br/>");
bkm_nw.focus();
}
To add as a bookmarklet, you can use this site and drag the link at the bottom into your bookmarks toolbar. THen just click the bookmark and use. Alternatively, you can directly add a bookmark to this location.
javascript:var bkm_url=prompt("URL:","http://");if(bkm_url!=null){if(typeof(bkm_nw)=="undefined"||bkm_nw.closed){var bkm_nw=window.open("","","width=200,height=50");}bkm_nw.document.write("<a href=\""+bkm_url+"\">"+bkm_url+"</a><br/>");bkm_nw.focus();}
Unfortunately, I don't think there's a way to force a file to download without server side support (MIME type manipulation), so you'll still have to use Save Link As...
with this. On the plus side, it should work with every major browser (barring overzealous popup blockers, in which case it can be modified to print inside the current window instead of using a popup). In any case, better than creating a HTML file every time you need to download something by link.