I admire your reluctance to accept the first simple answer you find and I encourage you to pursue your research.
I will, however, address your question about the scenario you present. When you click on the link to open a file in Application X, the following things happen:
- Your web browser sends a request to the web server asking for the file
- The web server sends a copy of the file
- It goes through your ISP
- It arrives at your router
- It arrives at your computer
- It gets to your Operating System which stores the file in RAM
- It gets to your web browser
- Your web browser looks at the Mime type and decides which application can use this file (in this case, it's Application X)
- Your web browser tells the Operating system to start Application X and open this file
- The Application X reads the file from RAM or establishes a temp file and operates on the file from there
- When the Application is closed, the RAM is wiped clean and the temp file is removed
There are many many points in that process where the user can make a permanent copy of the data. With a packet sniffer, they could capture the data at step 5. With some clever scripting, it can be captured at step 6. When it gets to step 7, it is often stored in a cache file where it can be copied. Often, the Application X itself will have a "save as" function so you can capture the data at step 10. Finally, when temp files are "deleted" in step 11, there are many "undelete" tools that can be used to reclaim the data from the hard drive. So already we have 5 opportunities to copy the data.
But then all of this assumes that we are using "standard" tools. There is no reason to assume that the user is using a normal version of MS Windows, a "normal" web browser, or even a "normal" copy of Application X. It's possible that the user has written or purchased an alternative version of any of these programs so that when the data arrives, this version of the software says, "I have the data, would you like to save it?" So really, there are many more than 5 opportunities to capture and save the data.
This isn't an opinion, this is a law. If you give the data to the user, they can save it.