Also, I've never right clicked on anything and gotten the option of "save link as" before. So you kinda lost me on that part.
With that I suggested to give that a try if you never did that before.
Try it right now - right-click on this page you are reading now - right here
- and select: "save page as"
A file-browser will open and tell you where it is going to be stored - you can also use this browser to create new folders and to store the page wherever you like (as long as the place is in your home-directory).
Then - since you just saved it - you know where to find it. Close your browser. Open your file-manager (Konqueror, Nautilus... whatever) and see if it is there.
When I open the "containing folder" it comes up with archive manager, or the file roller thing.
Give an example - where is the folder? What is its name? What is in it? Please give the files name and extension!
If the file is an archive - it is only normal that fileroller will open it if you click on it.
But this will not happen if you just open the folder.
If that still does not help you you need to describe the problem you have using an example everyone can follow from start to end.