1. Go to Catalog -> Manage Products -> Add product.
Select the Downloadable Product type:

2. Basic set up. Name, price, stock, website, category…

3. Downloadable set up.

Here you can create optionally Samples and at least one Link.
You can upload files or put an URL.

Now we can see the product in our frontend store.
Once you buy the item it will show up in your customer account (My Account). After validate the order it will allow you to download the file.