Links can be to defined other kind of files other than HTML files. When clicks on the link or presses the key if the link is active, there are possibilities depends on the browser nature.
Scenario 1If the browser can handle that type of file(plug-in installed), it correctly renders the file in the browser. (eg. image, text, pdf, flash and other similar files.)
Scenario 2If the browser cannot handle the new type of file, it will try to download the file to the client system.