If you just click on the link <something>.pdf or <something>.zip Safari will do mostly the right thing. If you Command-click (right-click) on the link and select "Download Linked File" or "Download Linked File As..." it does very much the wrong thing.
Here is a sample download link:
If I click on Wolves.zip you will see a little Safari compass jump up the screen and into the download button in the upper right. Once the download is done click on the download button and then click on the "search" button. This will open the zip file in the Finder
This will look different depending on your default Finder settings. In this case I click on the right arrow and I see the two files associated with the piece of Music.
To print double-click on the pdf file. For more information on how to use the rms file click here.
When you download a pdf link Safari opens the pdf in the browser. If you just want to print it one time and don't care about keeping it around for later use, just print from inside the browser.
If you want to download the file you need to move your cursor near the bottom of the screen and click on the "Download" button (which is the furthest right button).
Now you can find the pdf file in the Finder in your Downloads directory.