Clicking on download doesn't open usual dialog window on some websites

Firefox 26 in Xubuntu 13.10.
When I download files (.pdf, .rar, .txt, or whatever) from most sites a dialog window opens asking me what I want to do with said file, e.g. open with Default utiliy for that file type, or save file to local disk.
This does not seem to work on some websites however. In particular trying to download a .mkv file doesn't open the usual dialog and just fills my page with coding text that is way above my paygrade.
I am not at all familiar with .mkv and any quirks or individualities it may have, so I guess my initial question is, do I need some kind of additional FF plug-in to download this file type or is there a fault with the config of the websites involved?

[SOLVED] Many thanks for your prompt response. It looks like the problem solved as per your advice to Right-click on the link and selecting Save Link as.. rather than actually opening the linked page itself which, I think, was where I might well have been going wrong initially. Some additional info that may be useful for Xubuntu users - I opened Thunar file manager, navigated to the file being downloaded, Right-clicked and selected Properties and was able to monitor the progress and eventual completion of the download in real-time.
Thanks once again.

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