Okay...
In IE, there's the option "Save Target As..." when you right-click the link. You get the Save-As dialog and on the bottom there's text field with the file name and below a drop-down box with "HTML" selected. If you switch that to "All Files" you can save it with any extension you want. Otherwise it will append the html file extension. Also, it's possible that the behavior is different if you have displaying file extensions switched off in Windows Explorer.
Hope this helps
Michael
