You DON'T use you computer to download OTA. Thats why it's called OTA cuz your using your browser on your PHONE.
So for example if you want to download a theme via OTA.
1. go to the website using your BLACKBERRY BROWSER.
2. Scoll through the site til you see the OTA link.
3. click on the OTA link and it will download on your phone.
Now if you want to download the theme on your PC it must have the option to download a .zip file.
OTA downloads only work for specified program types. You should be able to Open the file and let it install.
Other things on the Internet can be saved by using Browser / Select Mode. You can select images or file links to save and you can select blocks of text and copy to the Clipboard.
Given a choice, I would rather use Applications Loader to install programs. In the event of a rebuild, all the needed files are readily available.