It will be very important to download data files rather than allowing your browser to open them in an application and then saving the result. That’s because spreadsheets and other applications alter the data slightly when saving it. For example, the US Census uses 06 to indicate California but Excel and other spreadsheets will change that to 6. Removing the leading 0 will cause problems later when joining datasets.
The way to get a download link varies a little depending on whether you're using "grid" or "list" view. Here are a couple of screen shots showing how to do it in each situation.