it works fine here. What browser are you using ? Make sure to click the "Download thru your browser" to get the file, when it's done, a "Save File" dialog appears so you can choose the folder to save it.
You could try the same link adding .co. before the .nz... but this one doesn't allow you to select a destination folder. It saves the file in a fixed folder (check MEGA website to know where). It also might depend on the browser you're using to download the file.