If you want to save the PDF somewhere else then you can do it from the page where the link is and right-click it to get a pop up menu and you can the download the pdf to where you want it and even rename it.
Yes, that is what I did. But that only works for links where the parent dir actually lets you right click on the link. Doesn’t work (for instance) for a link like http://pmrb.free.fr/contextref.pdf received in the mail, as http://pmrb.free.fr/ does not contain a link to the file.