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If you're running Leopard then it will be going to your Downloads stack.

Go Preferences > General > Set Download To > Other > Desktop
 
Just tried it, works fine. Right click (or Ctrl+Click) on the link to the file, and click "Download Linked File". In Leopard it will put it in your Downloads folder, in Tiger it will go on your Desktop.
 
Just tried it, works fine. Right click (or Ctrl+Click) on the link to the file, and click "Download Linked File". In Leopard it will put it in your Downloads folder, in Tiger it will go on your Desktop.

thanks a lot, that exactly what i wanted. know if i can only figure out a way for safari to notify me when the file is finished downloading.
 
thanks a lot, that exactly what i wanted. know if i can only figure out a way for safari to notify me when the file is finished downloading.

Well you could simply keep the Download window on screen, and watch for when it finishes. If your using Leopard, and have it download to your Downloads folder, the Downloads Stack will bounce in your Dock when it is done also.
 
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