The save as dialog is a feature of the web browser not a feature of mojoPortal. For file types that the browser is capable of showing the browser will show them directly instead of using a save as dialog, like .jpg .pdf, the browser usually knows how to display files of these types.
For other file types that are not handled by a web browser it will show the save as dialog automatically.
Or a user can do this for any file type by right click it in the page and choose "Save As" or "Save Link As"
Hope it helps,
Joe