Open/Save to disk/Cancel

I have an FTP site and everything is working ok, but a few of the files are large, Inventories and such.

When they click on the link on my webpage, it opens automatically, it doesnt give the option to open, save to disk, or cancel. Can I do this through HTML or is this an operating system thing?

Also, not only on the link, but when they go into the site and double click a picture or document, it just opens it, I would like them to have a choice to save it, on the large files for sure.

Thanks in advance for any help.