If your using one of those fascist free servers that complain when your site gets too much bandwidth, then you may be screwed. Just about all of them don't allow mp3s and video. zips are okay on some like spaceports.com the last time i checked.
Anyway yeah, like he said, you use standard html:
<a href="http://www.mysite.com/musicfiles/yoass.mp3">DOWNLOAD MY FILE CLICK HERE</a>
sometimes you don't need to repeat your full address, if the file is in the same directory. sometime if its a directory backwards you can use ../music/myfile.mp3. but, if you ever move the html doc then your links wont work no more.
and remember, what works on your local machine, may not work the same way on your server (ie don't use your directory names)