Proberly this is caused by the mime headers send by the server OR by the way the audio plugin was defined in the HTML-code.
I'm affraid you can't do anything about it.
The story about the mime headers in detail:
When you download a file from a webserver, the server send to the client what type of file follows. Normaly it shoud say something like audio/wave for a wave file. But if the webserver doesn't reconize the wave file as a wave file it will send application/data, resulting in the fact that your browser also doesn't know what file type is comming. If this happens the browser will show the "save to" pop-up.
Jeroen
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