Login destination to file download - prompt user
Well, there are a few ways you could handle this. All of them are going to involve some code to handle these type of requests. One way I can think of would be to catch these requests on your custom 404 page and redirect the user to the login page with a new destination and keep the file name as a parameter. Then, on the new destination page grab the file download parameter and provide them a big fat button that links to that file.

If they are already logged in and you want to do the same thing you would need some sort of pre-processing filter to capture these and do the same as above.