In NTFS, all file data—file name, creation date, access permissions (by the use of access control lists), and contents—are stored as metadata in the Master File Table. In Windows world, you might also have hear about the File Allocation Table. Other file systems have other names and structures.
All file systems work this way. A certain amount of space is reserved, usually at the very beginning of the disk, right after the boot sector. That space contains a data structure wich contains the information to retreive the files.
The Master File Table is not a file. It is just organized data. As a matter of fact, files are just data that have a beginning and a size, stored in a MFT, FAT or similiar. When you change the filename, you do not change the file, just some bytes in the Master File Table.
Since the name and attributes are different from the data, you can download a file stored on a Linux server to a Windows machine. The data is transfered, not the metadata. You have to name and select a location for the file yourself (although the server and browser can hint you the original file name).