The download link is designed to work within an Android Mobile with the Android Market application installed; it won't work on a regular computer, non-Android devices (iPhone, Blackberry, Windows Mobile, Symbian...)
or Android devices without the Android Market Application installed. Some of the Android tablet do not come with the bundled Android Market application.
It is also important to know that not all applications are available for all mobile phones; it depends on your country, on the OS version and the inner characteristics of your terminal (ie. the size of the screen).