I have the same problems. I have a quicktime/apple plugin, so when I click the file with the left mouse button, then the quicktime plugin opens in the browser window. If I want to click right and download the linked file the problem that You describe appears. A friend of mine, who hates plugins (and therefore doesn't have any) can click the link and then he can download the file. Makes me a bit jealous ;-).
I don't think that zonealarm is responsible for this... .
What You can do: delete all files in the temporary internet files-folder. Then click on the link to open the mp3. When it is fully loaded You search for the largest file in the temporary internet files-folder, copy it to Your mp3-folder and rename it into a mp3-file.