the downloads section wasn't working probably because the file was over 2MB, one of the reasons I got rid of it and installed the new media section -- and why I edited Bronco's first post here to say 'MEDIA' instead of 'downloads'
but yeah -- if your file is smaller than 10MB the media section should allow you to upload any file to any album where you have permission to do so, which you'll know because you'll see 'Add an Item to this Album' as an option
if your file is larger than 10MB just use the FTP method -- just search for the word 'FTP' and it should be the first result