Download Confirmation Form
Not easily because you are going direct to the path.

You could do it in a similar manner to sites such as sourceforge which show you the confirmation page first and use JavaScript to open the download. This method should also have a direct link option incase JavaScript is disabled.

The best way of doing this would be to add a menu hook which shows the message and then links to the path. You would need to add a .htaccess to capture the page downloads and perhaps pointing it to /download-confirm?link=(Base64 encoded link).