In my project site, if I click on a link, the PDF opens in a new or parent window. Well I want a box to appear that prompts the user to download the file instead of opening
Since you've tagged it .NET, I'd say this is your best solution:
Response.ClearContent();
Response.ClearHeaders();
Response.ContentType = "application/pdf";
Response.AddHeader("Content-Disposition", "attachment;filename=download.pdf");
Response.WriteFile(Server.MapPath("~/files/myFile.pdf"));
Response.Flush();
Response.Close();