GPX file links directly clicked on, tend to try to open an MP3 player. This is because in their infinite wisdom, GPX gave that file extension (which is the most commonly used format for global positioning devices) for their gadgets. Maybe the reverse is true, and the GPX MP3 player was the first to claim the *.gpx thing - I don't know!
Anyway, the file will need to be saved by right-clicking, then choosing Save target as if you're using Edge or Internet Explorer. If you're using Opera, the option is Save linked content as. If you're using Chrome or Mozilla Firefox, the option is Save link as.
Windows sometimes appends a *.MP3 extension to the files, which you'll have to expunge. You could alter the file association from the Windows control panel, but I won't go into the details now because it won't be one size fits all!
I'm sorry I have no helpful advice for Mac users - much the same I guess!
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