Have it point to a .php file that takes a variable in the url (.../filedownload.php?file=themovie.mpg)(edited)... I am kinda tired here and can't think of exactly what needs to happen at this point. You need to set some headers for content type and such, but I'm not sure where to go from there (I was going to implement this on my site too but haven't gotten around to it). Maybe my small help might have been enough?
(edit for clarity)
