File protection is a common requirement when building Umbraco applications (or any ASP.NET app for that matter). In fact Dirk De Grave is currently working on a project called Protected Media that could eventually provide this functionality in a package.

While building NCEExam.com, I used a different approach to solve this problem. While I am not sure this is the best way to accomplish file protection, it is very flexible and requires no configuration in IIS.