You have several options:
Copy Address from Download
Open the Downloads popup window in Safari, right-click the download file, and select Copy Address. Select Bookmarks » Show All Bookmarks, and press
Cmd-V to paste the URL and create a bookmark for it.
Edit an existing bookmark
Just replace the URL of an existing bookmark.
Drag & drop a link to it, or its URL as text
If you have a link to the file, or just its URL as text, you can drag & drop it onto the Bookmarks Bar and create a bookmark there, or onto a window showing all bookmarks, adding it to the selected folder.
This should work for links in most applications, e.g. from Mail as well.