Actually those links are just a part of his blogroll and the links are just directly to the uploaded files listed in a special Category.
Forgive me for giving a short answer but the library is about to close. Please give this a read, the bit about the Links widget:
http://help.edublogs.org/2009/08/07/using-the-standard-edublogs-widgets/
And this: http://theedublogger.edublogs.org/2008/01/30/creating-a-blogroll-for-your-sidebar/
If it's still an issue, I'll try to check back later tonight.
I have started using podcasts and would like to have links to them similar to this blog. (On the right sidebar) http://mrheller.edublogs.org/ I asked this user how he did it, but he said he did it a long time ago. I have made a text box for podcasts, but each time I try to paste the link, I just paste the URL. I would really like it to look like his, but the text widget doesn't offer any place to link to a file. My blog is at http://gbrovont.edublogs.org
Thanks in advance for any help!