The downloaded filename will match either your original as-uploaded filename or the product's Item Name, whichever is shorter.
If your original filename (or your product's Item Name if that's shorter) has any spaces, 'apostrophes' or "&" characters, those will be replaced by an "_" in the downloaded filename -- e.g., a file originally named Mom&Dad's Recipes v1.0.pdf will become Mom_Dad_s_Recipes_v1.0.pdf when the buyer downloads their copy.
Make sure that when you upload a file, it has a valid extension (like .PDF, .EXE, .DOC, .ZIP etc.), or else the buyer will be unable to open the file.