Shoutbox

Firstly, it depends on your default browser setting.
Secondly, in most browsers you can set options to how to handle a certain filetype. eg: when I click on a AVI file it will ask what I want to do: "open it with default application (WMP in my case)", "open it with...." or "save as..." .... So instead of creating a plugin, maybe you should check out your browsers settings.....

Also, in most cases, when you hold SHIFT down when you clicking an URL the browser will ask you where you want to save the target instead of opening it. try it...