Are you sure what you saving is not just the link and not the file itself?
A link points to a file, like a short-cut on your computer.
The file itself exists somewhere in cyberspace (on someone else's computer)
When you click on a link, you request that file, such as a web page.
There may be server-side programs running to intercept that request (such as OTz's PHP program) to ensure certain things, such as correct formatting and whatnot.
When you download by link, you are requesting the file by itself. If you want to save the link, right click the link, and choose Copy Link Location, or something very similar. It will save the address to that certain file.
Now, some server-side programs use a couple of files, namely databases (one huge file) to serve your requests, such as OTz. Instead of files, you get a part of a file, but still the data nonetheless.
So, instead of saving the link, you save the content (partial or complete file); in Dodge_Sniper's case, since it was a hard-link to a complete file, you get a copy of that file as part of your request to the server.
Versus something like quote=
COOL_BREEZE2;646082 (the link for the specific post quoted above) means nothing in terms of a particular file (try it - copy and paste it into your browser's address bar), and requires a server-side program (PHP for here, or at least I think OTz uses PHP) for interpretation (requiring syntax not normally seen in the actual content, with the '[]'s around the link) in order to serve you the requested information.
The bold part is the information needed by the preprocessor (PHP - PHP hypertext processor; the acronym is recursive) so that to format the data correctly "Originally posted by " & getUser(...) & ";" and the number is the specific post number, and is used with that arrow image, and is used to build the hard-link to the specified post (if you hover your mouse's cursor over the image, you will get an address in the status bar (if visible) of your internet browser).
I may not have explained it clearly as I think I may have, so if you have *any*/*more* questions, I can help with the basics; I have not been instructed in the ways of specific PHP questions - I may be able to read it, but not write it.