When you start to download a protected Adobe PDF or ePUB a small file with the extension .acsm is first downloaded. This is used by Adobe Digital Editions to send the activation ID to the delivery server which will use that ID to generate an encrypted PDF or ePUB eBook, which is then downloaded to your PC.
If your computer is asking you where to save the .acsm file then your Adobe Digital Editions may not be installed correctly or not yet authorized. Often you can solve this issue by simply setting your computer to always use Adobe Digital Editions to open this type of file (in Windows XP, for instance, right click on the file and choose Open With, select Adobe Digital Editions and tick the box to tell Windows to remember the setting; for other operating systems please read your documentation).
Many eBooks have built in security, DRM, in order to protect the eBooks copyright. You are required to activate your software before downloading to identify that you are the rightful owner of the book. In the case of Adobe Digital Editions you can opt not to authorize the software, but if you do this you will not be able to transfer the eBook(s) to other devices you own and in the event of having to reinstall Digital Editions it may not be able to open your existing eBook(s).