When you follow the link, you are actually launching the default program which opens links i.e your default browser.
The prompt that appears then is a way to ensure that the user knows what file the browser is downloading. You can turn it off from the browser setting. Eg: In chrome, it is Settings>Advanced Settings>Download but I doubt this is what you want to do.
If you are trying to download documents from a corporate URL, you can use C# to download the content as seen in this stackoverflow answer, though you have to make sure that the URL directly points to your desired content and not an intermediate page.
*Update
To get data from a secure domain, try setting the username and password you are logging in to the Corporate Website:
Client.Credentials = new System.Net.NetworkCredential("uname", "pass");