Downloadable Product

When adding a downloadable product in the responsive shop theme it seems the products are added to the media library first and then selected from there. Is this correct or am I doing something wrong?

To get it to work I have to open the window twice… once to upload, and the field stays blank, but then if you start all over again, then the second time when you “Select File” you can pull it from Media Library.

I am just wondering if this is the correct way to do this. Also is this actual secure and if not is there a way to change where files are being stored on the server to make them secure.