There are multiple ways of doing it. The easiest in my opinion is just adding some lines of code to your .htaccess file in the directory that contains the files you want your users to download
example:
Code:
AddType application/octet-stream .avi
AddType application/octet-stream .mpg
AddType application/octet-stream .wmv
AddType application/octet-stream .mp3
Just change the .avi, .mpg... whatever to the file extension of the files you want to be downloaded. This way when they click the link it will download instead of opening. (meaning they won't have to right click and save)
Hope that helps