saving a file directly

You can't specifically save the file if the user clicks on a link: the browser will obey whatever rules the user has set up, including any which require a confirmation.

If you mean "how do I give a user a link to click on, and it downloads a file?" then it depends on a number of factors:
1) Is the file in an available folder relative to the website? If so, then you can just give a line to the file:

<a href="http://MyDomain.com/folder/file.txt">Click here to download!</a>

2) Is the file stored in a database? If so, then give a link similar to the above, but with a file reference via an ASPX page:

<a href="wm5ftdl.aspx?file=2552129f-4629-4432-9de3-8177870d81be" target="_blank">Click here to download!</a>

Then in the page, retrieve the data from the DB:

<%@ Page Language="C#" AutoEventWireup="true" CodeFile="wm5ftdl.aspx.cs" Inherits="wm5ftdl" %>

<%  
    // Send a download file to the client given the filename.    
    string guid = Request.QueryString["file"];
    string fileName = "ERROR";
    byte[] data = new byte[] { 0, 0, 0, 0 };
    string strCon = System.Web.Configuration.WebConfigurationManager.ConnectionStrings["DownloadDatabase"].ConnectionString;
    using (System.Data.SqlClient.SqlConnection con = new System.Data.SqlClient.SqlConnection(strCon))
        {
        con.Open();
        string strcmd = "SELECT [iD] ,cn.[fileName],[description] ,[dataContent] ,[version] " +
                        "FROM dlContent cn " +

                        "WHERE cn.iD=@ID";
        using (System.Data.SqlClient.SqlCommand cmd = new System.Data.SqlClient.SqlCommand(strcmd, con))
            {
            cmd.Parameters.AddWithValue("@ID", guid);
            using (System.Data.SqlClient.SqlDataReader r = cmd.ExecuteReader())
                {
                if (r.Read())
                    {
                    fileName = (string) r["filename"];
                    data = (byte[]) r["dataContent"];
                    }
                }
            }
        }
    Response.Clear();
    Response.AddHeader("Cache-Control", "no-cache, must-revalidate, post-check=0, pre-check=0");
    Response.AddHeader("Pragma", "no-cache");
    Response.AddHeader("Content-Description", "File Download");
    Response.AddHeader("Content-Type", "application/force-download");
    Response.AddHeader("Content-Transfer-Encoding", "binary\n");
    Response.AddHeader("content-disposition", "attachment;filename=" + fileName);
    Response.BinaryWrite(data);
    //Response.WriteFile("wm5ftdata/" + fileName);
    Response.End();  
%>

There is nothing much in the .CS file:

using System;
using System.Collections.Generic;
using System.Linq;
using System.Web;
using System.Web.UI;
using System.Web.UI.WebControls;

public partial class wm5ftdl : System.Web.UI.Page
    {
    protected void Page_Load(object sender, EventArgs e)
        {

        }
    }