Go to: products >> select the product you want to edit >> page settings >> thank you/product access page settings.
If you want your product access to be protected (meaning customer needs to login first before they can download your product), you must choose "Use Hosted Thank You Page". If you don't choose this option, then you need to supply your own thank you page (which will not be protected) -- meaning anyone who knows the URL can download freely.
Notes: How you setup your thank you page will determine whether a customer will receive product access email or not. Read the details here.