One way that is pretty basic is simply go into your admin menu and click on modules click the edit on the downloads module and you can slect a category and wheather it should be viable by all, registered users only etc.

Another way would be to create a completely separate downloads folder in your modules directory, create a new module from the current one and rename the directory to like downloads_private. Then use this as your visible to only registered users in your mods admin section.

Does this make sense?

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