Setting up digital downloads

Newbie here. I apologize if this question has been asked before. If so, please point me to the link or document.

I am setting up a photography website. I am confused as to the "Product Download - file URL" menu in the Products page on Marketpress. What link actually goes in here. Does this come from your wp-content/uploads folder, someplace else, or do you have to set up an external site like amazon s3?