iPad and iPhone: just click on the link and the file will open automatically. You might have to tap the download link twice.
If you’re using a different device, you may need to use a computer to download the file, then transfer to your reading app. More instructions on how to do this can be found here:
For Devices using the Kindle app: http://www.amazon.com/gp/sendtokindle
For the Nook app: http://www.barkingrainpress.org/faqs/load-epub-nook/
For Kobo: http://www.ucg.org/help/how-add-ebook-epub-or-pdf-kobo-ereader/
PDF: Most devices have a PDF reader. You should be able to click on the link and open the book. The reader for PC and Mac is available https://get.adobe.com/uk/reader/ For PDF readers for your phone or table, visit the app store where you can get a free download