not sure if this is posted in the right forum, if it isn't, I apologize
A while back, I had a friend who ran a big command and conquer fansite.. being the big site he was, people linked directly to his files and "stole" his bandwidth, until he moved servers which had some kinda server side bandwidth protection script which didn't allow anyone to directly link to his files..
You can do this if your server supports mod_rewrite (assuming its an Apache server). I'm not sure exactly how this works, but there are plenty of websites out there that tell you how. One way to this if you do not have mod_rewrite is to use the following in your .htaccess file:
SetEnvIfNoCase Referer "domain.com" local_ref=1
Allow from env=local_ref
You can change the file types to whatever would be desired. I have had great luck with this script, on our servers that do not have mod_rewrite.