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 Dennyxe2x99xa6 commented.
It needs to do both usually. Your [default] browser will download a file to the
/sdcard/download/ folder (as Brian Denny pointed out) and then open it from there. It can open it directly from the browser, but it will also be stored on your device.