If the files are not protected by its owner, it should be possible to use 'Save target as' with Midi files. You can look into your temporary internet files after playing, they may be saved there.
Can you give an example (an URL) of what you are trying to download?
And btw. Welcome to the forums!
Ep, glad to see you come back and tidy up...did want to ask a one day favor, I want to enhance my resume , was hoping you could make me administrator for a day, if so, take me right off since I won't be here to do anything, and don't know the slightest about the board, but it would be nice putting "served administrator osnn", if can do, THANKS