How can I save a file rather than open it? I want to change a URL somehow so that it prompts my HTC Sensation to save the file rather than open it. 

Is this possible?
I take it that you want to download some media (e.g. .mp3, .wav, .jpg) from a link, which for certain sites will try to open via browser. 

Try long-pressing on the link for the menu, then select 'Save Link'. It will then save the content to /sdcard/download as  Bryan Denny♦ commented.