I have a link on my website and when you click it a document will open in the same window as the website.
Is there a tool that starts a pop up, so you can choose to open it in another window or to save it onto your pc?
No, but you can modify the link so that it opens in a new window. Edit the link and there is a checkbox below the link to have it open in a new window or tab. After checking that, click the save or update button, or whatever it is called. See the image under #3 in the following support document.