...
Download (regular users): directly download the dataset from the server. Often the data is zipped, you can use the freely available 7-zip (or many other tools) to unzip the files. The download is the preferred way for regular users.
Link (advanced users): these links refer to web-services. There are different types of services and they can be recognized by the extent, see the figure below. The most important ones are:
WMS (Web Map Service): a web map service is an interface to provide geographical images of a geospatial database. Many spatial web applications, such as Google Maps, use WMS to show the maps. Click here for info on working with WMS.
WFS (Web Feature Service): a web feature service is an interface to exchange vector format geographic information through the web. This can be very useful, as often web services, with different advantages. Often, geographical datasets are very large and you would not only want to widownload part of the dataset. Click here for info on working with WFS.
The difference between WMS and WFS is that images are served by WMS, whereas WFS communicates geographic feature information.