Download links instead of media pages

I am trying to set up Membership for use within my WP site. My desire is to have a sidebar showing links to various pages or files. I want to limit what can be clicked without having registered.

Right now, I can have the link go to a media object and then click from there to download.

This is not desirable.

If the user is not logged in and clicks the link go to the Protected Content page.

If the user is logged in, allow the download.