Question About URL Masking In Membership

I'm using the Membership plugin and was curious about the URL masking in hiding media URLs. How exactly does that work? I might have overlooked this in the documentation. If I want to offer a download to my members, can I just put it on a page and link it to the file as normal and the plugin will mask that link so they can get the file from that page, but not give out the link to their friends? Or does it not work for downloads like that? I'm using it now and have done what I said, but the link coming up is still the real link, not a masked link. Thanks.