Jon has given you a lot of good suggestions. I have a module that implements these extra security measures for egoods:
Limit to a single IP
Limit to the same IP that made the original purchase
Limit the number of download attempts (clicks).
Also, it tracks the IP of all attempted downloads, and let you have a real-time view of all of the egoods download activity on your site. It also has the ability to disable a download link if you believe that the download link is being used for unauthorized downloads.
You can check it out here:
http://www.alteredcart.com/Download-Expander-p-1.html