If you're selling digital or downloadable products such as ebooks or printables you will need to use this feature.
To add a download file to your product go to the menu Products > View Products > You will now see all products available in your store.
To edit a product click on the "pencil icon" next to the product. Now click on the tab Connect.
Scroll down to the section Downloads and select a download. (note: you must first have download files uploaded to your store)