If you provide (in an email say) a direct URL link to a course or resource/activity within that course that requires a login, the user will be asked to login then redirected to their original destination.

This does not happen when you provide a direct link to a file hosted within a course file area e.g. http://moodle.example.com/file.php/123/Example.pdf

Instead users are dropped at the root/front page of the Moodle site.