Having issues with downloading files from websites

I'm having issues when trying to click on a link on a webpage or pop up. Firefox and Safari are not registering when I click on a link or button. I've only been using a Mac for only about 5 days now so I don't know all the settings and what they do.

Also this was working two days ago. If there something I disabled or enabled, how can I fix it or re-trace my steps.

This would be a big help since I need this to download PSD's for my artwork.

 

That doesn't work. I only get an option to save the link, the page address or picture. When I save the link and enter it manually, the file never downloads. I also check the download file to see if it registered but nothing happens.