Do you really think that is a good idea to force every User to download the file on first click???
When you click on the document links either embedded on the page itself or on the Attachments page, the file is opened (depending on the file)and the User can elect to download the file IF they want to.
Just to clarify, are you talking about a download link for an attachment in Confluence? Or are you talking about a download link for a file that's stored on the network?
If you want users to download an attachment then either they can click on the file, view it in the file display and click the Download button (as per Rodney's screenshot), or they can go straight to the Attachments and download either individual files or a zip file of all of the attachments for a page (To get to the Attachments for a page, either click the paperclip icon next to the page title or click the 3 little dots in the top right of the page and select Attachments).
If you want to provide a link that users can click to access a file on a network store then there are ways of doing that too - let us know if that's what you want.
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