Note: The "NEF" files are "RAW" image files and require a program to manipulate. You can't see them in the browser -- they show up as a "broken" icon. They're not-the browser is.
To save those images, you need to "Right Click" on the file name at the header of the page and "Save Target As" to your local computer.
I use IrfanView as my image viewer/editor when I'm not using PhotoShop. You can download IrfanView as freeware at http://www.irfanview.com/ . Be sure to get the "Raw" plugin too.