If you right click and choose "Save Target As" you should get a box asking you where to save the file. That box also shows the file name and can be used to change the file name before the file goes to where you put it.

For a number of sites, it's absolutely necessary that you change the name of the file before you complete the save, because every file downloaded from the site has the same "default file name."

If you accept the default name, and save something like e.g. each of "the last 20 decisions from the US Supreme Court" you'll end up with one copy of the last one you clicked, since each "save" will just write over and replace the last previous one. This is one case in which Windows generally doesn't warn you that "there is already a file with that name" and ask if you want to replace it.

John