Click Tools->Options then go to the "Downloads" configuration section. Make sure the option: "Always ask me where to save files." is selected.
Alternatively, you can go to the "Applications" configuration section and find the most common file types you might download from Radio4All, like MP3 and OGG. And change each setting to "Always ask".
For Internet Explorer:
As far as I can tell there is no setting to force a download prompt after IE5, but IE tends to open a download dialog box rather than automatically play your file.
Downloads default to the desktop. If Safari attempts to play your file, it usually downloads it to your desktop first. A download manager window opens when you begin a download allowing you to pause, resume, or cancel a download.