After opening the file on browser, just hit CTRL-S or File - Save to save the file... Or download the package which has both files from bottom of the page.
After few attempts (corrupted DS-profile every time) with latest version (0.002) on 4.5.0-10E using R4i Gold, I finally got a dump after completely formatting the SD card (I had emuNAND on the default SD card, nothing else).
I seriously hope this would speed up the birth of the homebrew scene...
I had update already downloaded (available for offline installation when I attempted to run the system update manually) while I updated my emuNAND to 6.3, and it worked for me.
@Xdqwerty, You do realise that just about any SD card formatted to FAT32 should work with the DSi. I think, 16GB or 32 is about enough to load all of your games.