It is possible to download and open shared non-standard files such as DWG drawings on iOS and other mobile devices. Here's how
When you click a download link for a file format that is viewable in your mobile browser, the downloaded file will open as normal, provided you allow popups. For some file types such as DWG drawings you will need to ensure that you have an appropriate viewer app installed on your device.
For these files you will need a DWG viewer such as the free AutoCAD WS. Once this is available on your device you should be able to use the 'Open in...' option after the file has downloaded in order to open the file in the appropriate app.