When creating your “add to cart” links, you must call the category and code. ie. http://yourdomain.foxycart.com/cart?code=my_downloadable&category=downloadables

No. The download links are added to the receipt page and to your receipt emails. Just make sure you style those and you'll be fine.

• You can create downloadable products in the admin. Downloadable products must have a category assigned (to give greater flexibility with tax, handling, emails, etc.).
• Downloads must have a unique “code”.
• Unlike other products, downloadable products must have a price set in the admin. (This prevents potential price “spoofing”.)
• When creating your “add to cart” links, you must call the category and code. ie. http://yourdomain.foxycart.com/cart?code=my_downloadable&category=downloadables
  • You could conceivably use the default category for downloadables, but it's not recommended, as it's quite easy to forget. A non-downloadable product in a downloadable category will work, but it won't function as expected (particularly with regard to shipping).
• You can set the maximum number of downloads allowed per product (per order), or expiration limits on downloadable links.

• Customers add them to cart and purchase them as normally.
• Customers are then presented with links to download their products on the receipt page.
• Additionally, links to download are present in any receipt emails you may send out. It is included where the ^^receipt^^ placeholder is set in your receipt email templates. (It's in the default templates, if you're worried.)

• 200MB limit on the size of an individual file. There is a limit on storage space of 100MB per store, but you may contact us to purchase additional space.
• No upload status indicator. We know it's annoying, and it's on our list of things to improve.
• No ability to monitor whether (or how many times) products have been downloaded.

If you want to self-host your files you can check the self-hosted downloadable script in the integration section.