I think it is better to use the Repository module. Read the online help for details. But this is what I did:

• Change the uploadable file size to some larger number (in web.config, line 122). For example, change 8192 to 65536.
• Zip your audio/video files.
• Associate each zipped file with an image.
• Upload both the images and the zipped files.

Your users then can look at the images, pick a file, and click DOWNLOAD to download the file.

Well, since you placed this post in the News forums, I assume you want a way to use newsfeeds to include the abilty to for users to click on a link or image in the feed to download the linked media file.  Unlike the repository module, you could setup a newsfeed module to do that type of thing with a custom xsl.  Then, users could subscribe to that newsfeed. That's one method used for a lot podcasts type of media distribution.  

If that's what you are after, let us know.  There are several ways to do it depending on exactly what you want to achieve.  Give us some idea of the usage you envision, and we can step further.