Downloading a file from your server should not be tricky. If it is a web-facing file, you can usually download it with your web browser. If it is not, you could use FTP. The problem with both of these options, FTP and HTTP, is that neither is truly secure. If you need to download a file, especially a large one, there are more secure options.
HTTPS: If you have SSL enabled on your server, you can always download a web-facing file using HTTPS. Just make sure the “s” is in the URL that you use.
SCP: Using “secure copy”, you can make use of SSH technology to download files to your server over an encrypted connection.
SFTP: Also making use of your SSH login, you can use SFTP just as you would use FTP. In fact many modern FTP clients, such as Filezilla, have SFTP support built into them. This allows for easy drag-and-drop downloading and uploading of files.
These are three of the most usable methods for secure file transfer on a dedicated server. There may be others, but regardless of the method, you should make sure the one you choose has encryption and a secure login.