Here is a link to a page where I offer a download.
http://frontpageforms.com/color_picker.htm
And here is what the link looks like.
<a href="colorpk.exe">Here</a>
So this means that colorpk.exe was saved to my web so when I created my hyperlink to the download it was chosen from the list just like linking to a page. The file must be contained within the web in order to create the link unless you are linking to another site.
In some cases you may wish to zip the file and then hyperlink to the then zipped folder.