Assuming that you create a folder called "downloads" on your host in the
directory at what will be the same level as your web files, and upload your
files to that folder, then your links will be:
http://yoursite.com/downloads/yourfile.avi
I would suggest that when you name your files, that you avoid using spaces,
and no other special characters other than underscores or dashes. One
problem with underscores is that when the hyperlink underline is present,
you can't tell whether there is a underscore or not, so that can create
errors. It is also best to use all lower case.
Including external files in a Publisher web:
http://msmvps.com/blogs/dbartosik/archive/2006/01/07/80561.aspx
This is an article for more background, though the site seems to be down
right now.
DavidF