Using drupal to run a download website with about 10K files
It depends on how do you want to manage/upload your files. You can put your files in sites/default/files but create a new vhost (with or without the same web server with your primary site) at files.example.com to give access to this folder. Also, it depends on whether you want access control to your files. If you don't want public access to those files, you should use the vhost, but use something like X-Sendfile header to reduce server load.