Assuming we want to have the download manager accessible from the menu, we need to setup a view for the content type. Go to Administer->Site Building->Views, and click "Add" at the top of the page. Enter a name (ie. "downloads") and (optionally) a description ("Collection of files available for download") and a tag ("downloads") for this view. Leave the type as "Node" and click "Next."
We now have a fairly complicated looking page. Don't despair, we'll get through this.
On the left, under "Defaults," there is a drop-down box with some view displays. Select "Page" and click "Add Display." Repeat this for the block display type. (Note: The block display is optional, but if you wanted, say, a sidebar that shows the most recent download files, you'll need this.)
Select "Defaults" again. Under "Basic Settings", change the title to "Downloads" or something more descriptive than the default. You change the values by clicking the link, then editing the fields that appear at the bottom of the page.
We now need to add some things to different groups. Do this by clicking the "+" box in the appropriate group.
Under "Sort Criteria," add "Node: Post Date" by clicking the "+", selecting the "Node" group, then checking the "Post Date" checkbox. Click "Add," then set the sort order and granularity (I use descending, with second granularity.) Click "Update" to finish.
Under "Filters," add "Node: Type" and "Node: Published." Set "published" to true, so only those download files that have been published will be displayed, and leave it unexposed. Make the type "Is one of" and "Download" (or whatever you named the content type.)
Now we add the fields we want displayed in the node. This process is similar to the above, and you can add any fields you wish, but I'll just explain what I have.
Save the settings.
Click "Page" in the left column to bring up the page settings.
Under "Page Settings", set the path to "downloads" so that you can access the downloads page by going to http://sitename.com/downloads.
Save the settings.
Set the menu to "Normal menu entry" and "Downloads" as the title and select which menu to add it to. This will add a "Downloads" item to the menu, which will basically list all items, like a blog. This is fine in some cases (for instance, a most recently added list) but not really categorized like we'd want. Read option 2 for a nicer solution.
Save the settings.
Typically, we'd like to have our files organized by the taxonomy terms associated with them. This is quite simple to do by using the "Taxonomy List" module. Basically, all you need to do is create a new menu item (Administer->Site Building->Menus-><name_of_menu>) and click "Add Item." Enter a title, which will appear on the menu, and in the path field, enter "taxonomy/vocabulary/<vid>," where <vid> is the id of the vocabulary ("Downloads") that we want to list. In order to find the vocabulary id, go to Administer->Content Management->Taxonomy, and hover over the "edit vocabulary" link for the vocabulary we a looking for. Notice the address of the link ends with a number (something like ..../taxonomy/edit/vocabulary/1, where 1 is the vocabulary id.) You may set any of the other options for the menu (description, parent, etc.) that you like and save it. Now when you click the menu item, you are taken to a page that has the taxonomy terms for the download files. Click a term, and you have the files in that category.
You may want to configure the taxonomy list a bit. Go to Administer->Site Configuration->Taxonomy List. I set it to display 1 term per row, but that's up to you. I do recommend checking the "Add edit term link" so you can edit the term's description when logged in as an administrator. The reason for this is that we are letting users define new terms when a file is uploaded. These new terms won't have a description (which is nice to have for the category) and by having the edit link here, it is easier to modify through casual browsing.
Save the settings.
Under "Block Settings," change the "admin" to give the block a description name, such as "DownloadBlock."
Save the settings.