I am considering you are using ASP (as tagged). Do something like this:
<a href="UploadedFiles/<%=oRst.Fields("FileName").Value %>" ><%=oRst.Fields("FileName").Value %></a>
where,
oRst is your Recordset object.
FileName is the Column name which stores file.
UploadedFiles is a folder in the same directory as your website, where the files are stored OR better use
Server.MapPath()
to map the specified relative or virtual path to the corresponding physical directory on the server.
I would suggest you to buy a book or read some samples on the net because it is a very basic question and you could have at least searched for it before asking.