When you receive a delivery slip you will notice that there is a URL towards the bottom. Otherwise, cut and paste it into the open location dialog of your browser. A screen will come back giving you an opportunity to specify what file format you want this particular file in. This screen also gives you a chance to preview the file in your browser. You can actually download the file with the download button, and when this happens, a dialog box appears asking what you want to name this file.
All files start off with their original names.
After doing that, the file will be downloaded to your disk, and you can open it with the software tool most appropriate to its format. That's all there is to it.