Try this instead. Select the link in Mail and copy it. In Mail, just Control-click and select Copy Link from the menu. In a text-based apps, you'll have to select the whole link and copy it, unless it provides a similar link discovery feature. Open a new window in Safari and paste the link into the address box, then oress Option-Return instead of a plain Return. Safari will behave like you Option-clicked the URL. I'm sure this could be automated somehow, but I'm too lazy to figure that stuff out!
[robg adds: As noted in this earlier hint, another (possibly simpler) option is to paste the link directly into Safari's Downloads window.]

