Some files, such as Flash documents and embedded sounds don't allow you to save them directly. Most sites use this as a 'security feature' by not allowing you to save for example music files or ringtones for free. (Jamster site used to use Midi and Wav files, now they use Flash embeds).
If this is the type of file you are wanting to save you can work around this by using a program to record the output of your audio device and save it as for example an MP3 file.
One such program is "Super MP3 Recorder Pro" for Windows Users, there are much more (better) programs for MAC users, just google them.