Graham
TECRIDIBLE If they are links to external files you could just use a landing page on your site the same as filelist and send the url of the file to it
or maybe based on something like this jquery which shows a js popup when the link is clicked
demo
http://baretest.xtgem.com/tests/index
This example will show the pop up when links inside the wrapper element with id="redirect" are clicked this stops it showing on other links on the page (like normal navigation links)