How do I track files (such as PDF, AVI, or WMV) that are downloaded from my site?

If you wish to track downloads or individual clicks on files such as pdf, or word files you can do so using Google analytics.

Adding a small piece of JavaScript to any link will tell Google to track when someone clicks on that link. This works for pdfs, Word documents, email addresses and external links.

Google Analytics provides an easy way to track clicks on links that lead to file downloads. Because these links do not lead to a page on your site containing the tracking code, you'll need to tag the link itself with the _trackPageview() JavaScript if you would like to track these downloads. This piece of JavaScript assigns a pageview to any click on a link - the pageview is attributed to the filename you specify.

For example, to log every click on a particular link to www.example.com/files/map.pdf as a pageview for /downloads/map you would add the following attribute to the link's tag:

<a href="http://www.example.com/files/map.pdf" 
onClick="javascript: pageTracker._trackPageview('/downloads/map'); ">

Source: Google Analytics Help