As you all know, there will be a .lnk file created for most of the files you access in %userprofile%\AppData\Roaming\Microsoft\Windows\Recent.

Will there be a difference between the .lnk file created for a downloaded file Vs. one created in the same machine. Why I ask is because, when you download a file, Windows mark it as external file through the Alternate Data Streams Zone Identifier, which make you to click 'unblock' to use the file for some purposes.

Will there be any hint in the lnk file created that the target file was downloaded? I didnt find any hint in https://msdn.microsoft.com/en-us/library/dd871305.aspx

Well I'm not particular about the zone identifier, but any difference that makes a distinction between normal file and downloaded file inside the shortcut.

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