http://www.mp3-box.org/download-mp3-from-youtube-safari/
I am trying to download an mp3 file with Safari using the activity window?
I’ve done this with YouTube videos before and now I am trying to download a mp3 file. The thing is, it’s not even embedded into the page–I am supposed to be able to download it normally from the site. (I would post the link, but it’s password protected and I’m not giving that out.) Instead of downloading when I click on the link however it goes to a white page with a little play-bar-thingy-magig. So anyways I tried opening up the activity window and double clicking on the file, but it just directed me back to the tab with the play bar instead of downloading to my desktop. Help? 
P.S. I am running on Mac OS X 10.3.9, v. 1.3.2 of Safari.
I tried that just now, and nothing happened. I use that all the time to change my desktop, but a window didn’t even come up. Thanks for answering though! I can just ask my band director to make me a CD. 
control+click or apple+click or right+click (depending on how you have your system set up) on the link and select “save target as”
That will let you download the .mp3 to your desktop or a folder no problem.
Pokémon: Heart Gold and Soul Silver — Safari Zone Gate MP3+Download