open save cancel dialogbox Java Script

Not really as you say. But maybe:
<a href="myfile.pdf" onclick="alert('Please use right-click for menu');return false">PDF</a>

or you could create your on dialog with the buttons you need by using DIV tag

or you could just place it in a zip file and link to that

1) If your app uses IE only, then consider using vbalert box
http://www.javascriptkit.com/javatutors/vbalert.shtml
https://www.experts-exchange.com/questions/20307599/Changing-alert-title.html?query=messagebox&searchType=topic

2) you could create a new window (popup) with the buttons (but remove web window formatting),
I have even seen these windows look just like a dialog box, however I think this would
take some time.

3) If you need only two options, then consider using confirm box
 
https://www.experts-exchange.com/questions/20263949/javascript-yes-no-messagebox.html?query=messagebox&searchType=topic

4) Jay's answer would work.

Hope this helps!
astro

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