Just to make sure - are you setting this up on a Windows server, or on your local machine running Apache in windows?
Secondly, you don't need the "C:\" in your file path. You just need the folder name. And chances are, if you are using a Windows server, it's probably not from the root of your drive, but probably a web folder or something similar. (I haven't used Windows Server for deploying websites in a long time..).
However if you're saying that the file is showing up under Products > View File Downloads, then I'm not sure what else could be going on. When I said that the path should be "outside" I didn't mean "not to ofar" or anything. You can really put the downloads wherever you want, but to be on the safe side, I'd keep them above your web root, which is usually something along the lines of "htdocs," "httpdocs" or "www" .. sometimes even "web_root". It varies setup-to-setup, really.
You said that you set the downloads folder as a sharing folder in Windows, but that's not quite what I meant. In IIS you can tell the server whether or not to allow Public Read, Write or Execute permissions on a file, or on a folder. Sharing in Windows usually means other users on the LAN can access a particular folder.
If you can explain your setup a little further, maybe Shawn or someone else can help who has better knowledge of IIS (if that is in fact what you're using). I'm a lot better with Linux web servers. I highly recommend them 



Joined: 08/14/2007