In Assets manager you need to include a zip or pdf. it works only with these two extensions.
When you have imported your files for download it appears under file dropdown. So you can choose the file.
Second option is to drop those files on canvas and the button will be created.
File Download Interaction
The file download interaction lets you set a file that will be automatically downloaded when a visitor clicks the item. You can also quickly create file download buttons by simply dragging files such as ZIPs or PDF’s from Finder onto the Blocs design canvas.