This should be very straight forward to do:
1. Create a hotspot and have it selected for adding the function to it (click it directly, or select it in the hotspot drawer (bottom of the program's toolbox))
2. Click URLs in the top tab (next to "Plugins" and "Tooltips")
3. Name the function ("download_my_zip_file" .... or what suits your needs)
4. Type in the url of the file to be downloaded (or movie opened or document to be seen... ) The url must include "http://" and depending on servers, you also might have to include "www" ... like this: "http://www.filetobedownloaded.com)
5. Default setting for opening content is "_blank"... this is the setting to open a new window, rather than to open in the current window (_self). Keep the default setting.
6. Click the "Auto-Attach Function" button.
I have just done this exact method, and it works as it should.
If you still have problems with it, you should first of all make sure that the hotspot you want to apply this to, is selected... if you have had autorotation on and stopped it, or closed the info screen or clicked on some other hotspot prior to applying the URL function, you would be applying the function to the last clicked hotspot. That is the most common error when functions to be added don't seem to be working.
If you still have problems, please inform which browser and browser version, flash version and air version you are using, and less importantly, which OS you are using on what hardware.
Best of luck.
My destiny isn't carved in granite ...
It's written with a stick in dry sand ... on a stormy day ...