Many websites have links that appear to be to, for example, mp3 files that actually take you to another webpage and it that second page that has the download link. The file type options you are seeing indicate that this is the case with the mp3 you want.
Just click on the link to go to the webpage they want to take you to and download it from there. [As you hover your cursor over the link before clicking on it, you will see where the link is pointing on your IE Status bar]