Do a search for "downloads" on the plugin WP site as suggested. Also, you can do it without a plugin but it'll be more of a hassle. Just make a page called downloads or whatever you want it to be and manually insert the download links. You'll need to upload the files via FTP though.
However, I'm guessing you want to avoid that hassle so experiment with a couple of plugins to avoid that, make sure they work with the latest version of WP though.
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