how do you make it so that when someone wants something off your site (like from mosts visitors section) they can click a link and a download file will pop-up?

You can just create a link to the file, such as:

does it have to be a .exe? i tried that and it didn't work. i also tried saving it as a .zip but when i downloaded it tried to open it, a pop-up came up or something saying it wouldn't work.

also, how do you make it so that you can download multiple things at once...like brushes?

You can specify any file in a link. It doesn't matter what type. You just put the path to the file in the href attribute, just like a normal hyperlink.