If when you click the download button of this website you are redirected to the home page there is great chances that you disable a feature called "URL Referrer".
This means that every webpage thinks you came by typing directly its URL in the address bar instead of clicking on a link.
LiLi's website does not allow other websites to make a direct link to the download (this is called hot-linking). When you disable URL Referrer, it's like you are trying to hot-link.
If you want to be able to download LiLi then you should re-enable URL Referrer. This is how to do it in Opera : http://www.opera.com/support/kb/view/93/