In the days of the classic MacOS, all downloaded files automatically had the web address entered into the comments field of their Info window. Of course, we had to regularly rebuild our desktop back then, and this often meant losing the contents of info windows. Thankfully, the days of rebuilding the desktop are long gone, and this feature is still present, though slightly different.
In OS X you can select a downloaded file in the Finder and select Get Info from the File menu, or press command-i to bring up the info window. Look for the “More Info” section, and click the disclosure triangle at left to reveal the file’s origin in the form of a web address.
This is a useful trick for those of us who stash away media, either for archival purposes or in a media server type environment. Sometimes these files become corrupted and re-downloading them is often the easiest way to get them back.