When I did this for my K2 I just uploaded the Mobi files and had an HTML page with links that listed them to my web server space. When I clicked a link it would download, I did nothing special. Perhaps there is something up with your servers mime setting or something and it's trying to treat a Mobi file like it's HTML or something.
@SunLight; PDF's can't be directly downloaded. They must either be sideloaded or emailed to the Kindle (the PDF will be converted or not depending on how you do the email).
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