What does that mean?
If you're talking about downloading files from web sites, you can only do this if other people have placed the files there for download in the first place.
Everything on the internet - every web page you visit - is downloaded by your computer, that's how it works. If you want to download non-HTML files you can only do it if people put the files in their webs in the first place. Then you just click on their file-link. Your browser will do the rest. You can't download files unless there are links to them on a web page - unless you're talking about transfer via FTP.
Maybe if you explained a little more fully I could be more helpful.