Create an upload directory and place the files above the webroot.
If the files cannot be placed above the webroot, use htaccess to redirect the upload url to the protected url.
RewriteRule ^uploads/protected-directory/(.*)$ /downloads/$1 [R=301,NC,L]
Create a template for the plugin tag, something like downloads/index.html.
In the File Upload Preferences, change the URL of Upload Directory to this url. in this case the url would be http://domain.com/downloads/.
{exp:fm_protected_files:protect
allowed_member_groups="1|2"
directory_id="9"
filename="{segment_2}"
}
If the allowed_member_groups param is not used, all member groups will be allowed access, with the exception of guests.