Guys, a little more expansion on what you mean?
You can't actually download attachments from here, if someone has posted a photo, you can-depending on your browser-right click and chose to 'save picture as' Or 'Copy picture', at least you can with Mozilla Firefox.
Other than that it is usually just 'links' that you click on to take you elsewhere.
If it is documents you want then just highlight them and copy them to your clipboard and save them in 'Word' (or whatever word proccessor you happen to use).
Other than that I am not too sure what it is you are asking
Regards,
Ian