Membership Premium - finding file for protected downloads

I am using membership and I would like to protect one particular directory. I set this directory in the options page and that didn't work. The links are protected but I always get "file not found". So I tried a plugin in called add to server to add one of the files and try to create a group and added the file through the media window and set the group. Still, file not found.

The plugin is masking the directory just fine. The links are coded into the articles just fine. The shortcode is only displaying to members. But when they try to download... file not found.

Any thoughts?