The file is a shell archive (a sort of self-extracting archive).
Since it begins with text and the webserver says it's text/text or some MIME type like that, the browser thinks, ok it's text and gives it the name of the script generating the download page.
(Yes, as I said, it's silly).
What you could do, is
a) save-as the file with the original filename suggested (like et-2.56-linux.run or something)
b) wget the file (only works with a direct link though, with cookies and download-BS like on fileplanet and consorts, this is probably not an option).
Oh yeah, once you have the file, let's call it "et-2.56.run" for this example, do this:
#> sh et-2.56.run
to install
(same with the upgrades).
-><-
Cardinal Tars Tarkas, KSC. |