Most, if not ALL user uploads here on EP are hosted on other sites. Megaupload is a popular one, and there's also Fileserve, Rapidshare, Hotfile and others.
When a user uploads a file to these hosting sites, they are given a web (http) link to share with others. When you copy this link and paste it into a browser (Internet Explorer, Firefox, Chrome, etc.) you are taken to a webpage where you can download the file.
Most shared files are compressed into .rar, .zip, .7z or other types of archive files before being uploaded to a hosting site (for a tutorial on handling these, see below).
Some archive files are small enough to be downloaded from just one link; however, some larger ones must be split and uploaded in smaller parts due to certain hosting sites' Terms of Use (no files larger than a certain size unless you're a registered user with them.)
With these "multi-link" files, you have two options:
1. Paste each link into your browser individually, and click the download button at each download page.
2. (Recommended) Install and run the program "jDownloader" on your computer, then copy ALL the links and paste them into the jD window. Hit the start button (triangle... like "Play") and forget it until it finishes.
jDownloader works best with Megaupload links, but will work with other hosting sites; Your mileage may vary.
If jDownloader doesn't work on a certain link-set, please don't flame or rage in the upload forums... you will draw the wrath of the Moderators, and generally give everyone a headache. We're here to have fun, remember.