What? Okay okay... I was being silly. The answer is it "Depends". Depends on the output you are producing.
If you are producing Microsoft HTML Help (CHM format) the best approach is to ship the files as separate elements, then use an HTML Help Shortcut control to open them externally. If it's a web based output (WebHelp, FlashHelp, Multscreen HTML 5, Responsive HTML 5) then add the files to RoboHelp's Baggage and create a link from a topic to open them.
Hmmm, and in re-reading this, I may have misunderstood. You said DOWNLOAD. And in that case, the best bet would be to zip them and add them to Baggage, then provide a link to the baggage file(s).