In Firefox
Tools -> Options -> General -> Select Always ask me where to save files
In Chrome
Open Settings -> Select Advanced Settings -> Check ask where to save each file before downloading
In Opera
Go to Opera Menu -> Settings -> Preferences -> -> Advanced Downloads -> Advanced -> Edit the mime type you want and select show download dialog
In IE
Open the Adobe Reader program -> Preferences -> Internet -> Untick Display PDF in Browser
Downloads
You can access your downloads folder from any browser with Ctrl+J if your not sure where the PDFs get saved to, any PDfs open in the browser will go to a temporary folder but the downloaded ones go to whatever downloaded directory you have selected.
HTML 5 Attribute workaround
You can use this HTML attribute to force the link, also jquery supports the same thing (credit to Austin)
<a href="path/to/file" download>Click here to download</a>