Usually downloading files in Safari is a pretty simple task. You find the item you want to download on a website, click the "Download" link, and it goes into your downloads folder.
But what if all you have is the URL of the thing you want, such as some audio or video played that plays via Safari's QuickTime plugin or something else that you just want a local copy of? Thankfully, there's a tried and tested way of downloading such URLs, though it's just not totally obvious.
Safari's Download Button
The first order of business is to get Safari's Downloads popover to show it's face. If the little Downloads button is already visible in the Safari toolbar, you can skip these steps. If it's not, the simplest way to get it to show up is to download something.
All you have to do is go to any web page and Option-Click a link. This will download the contents of the linked page and reveal the Downloads menu. If it still doesn't show up, you may have Safari set to remove the button as soon as a download completes. To fix this, open Safari Preferences by pressing ⌘, (command and comma) while in Safari and choose "Manually" from the list of options next to "Remove download list items." After this is done, simply repeat the steps above to download a link from a page.
So now that the Downloads popover is available, you'll want to copy the desired item's URL to your clipboard. Once in your clipboard, click the Downloads button to reveal the popover and click on an item in the list of things you've downloaded. Then paste the URL into the popover using Command + V and your download will begin. Once it's finished downloading, the item will end up in your default downloads folder. How cool is that?!