While validating URL, magento throws an exception if the link's not using HTTP protocol - https://github.com/LokeyCoding/magento-mirror/blob/magento-1.7/app/code/core/Mage/Downloadable/Helper/Download.php#L102
Wondering is there a reason for that? Ran into this while using a HTTPS link for source file for the product.
This is presumably to prevent an issue in IE6, IE7 at the time that Magento CE 1.2 was released (ca. 2008) that prevented SSL downloads if Cache-Control: no-cache HTTP/1.0 HTTP header was set. According to the Microsoft KB this may be an issue that presents all the way up to IE8, thus why it still exists in the codebase.
Source: http://support.microsoft.com/kb/323308
The (now defunct) Harapartners Blog points this out with a workaround - though I don't personally recommend it:
If you have SSL enabled for your site, downloads may fail for all versions of IE, as IE contains a bug that prevents downloading over secure connections if the no-cache header is set. This can be easily fixed in an htaccess file by removing the no-cache and no-store headers, or by forcing download links to be non-secure.
Source: http://www.harapartners.com/blog/magento-product-types-2/
