The error you're getting shouldn't be for a file, this is is about the file downloads directory being setup here: /admin/store/settings/products/edit/features

The field is called "Files path" - this should be different from the files/ directory used by Drupal (for uploads, comment attachments, etc.) - these are the files that will be attached to your product feature (File Downloads).

So the folder you put here should be the path, relative OR absolute, where you'll be uploading your files that are available for purchase. Then when the links are generated, at checkout / successful order completion, the downloads will come from there. You can verify this by viewing your list of files available to Ubercart at /admin/store/products/files

If this is all setup correctly then you shouldn't be getting the error. Make sure that the files folder has permissions setup. You may need to play with it, since you're using Windows / IIS you'll need to right-click the folder in your Files view and give it Read/Write properties.