If you don't have another browser you can use, you will need to right click the download link and choose "Save Linked File As..." from the popup menu. You will need to give the file the same name and extension (.abr for brushes, .pat for patterns, .asl for layer styles, and so on) in order to use the files in Photoshop. Safari should pick up the file name when you right click to save the link, but if it does not, you can hold your mouse over the link and read the file name in the status bar at the bottom of your browser window, before right clicking to save the file.
I suggest reporting this behavior as a bug when you come across it. You may do so by choosing Safari > Report Bugs to Apple on the menu bar.
I do make mistakes from time to time, however, so if you still have trouble downloading a file after trying these suggestions, please post a comment in the forum to let me know. I will need to know the URL of the page you are having the problem with, and which browser and platform you are using. Thanks!