For this to work the course containing thr file must be completely open or students must be enrolled in both courses (one with the file and one where there is just a link to the file)
Go into your Files in the administration block
Right click on the file you want to link to and select Properties
Copy the URL
Go to the course where you want the link
Turn editing on
Select Link to a file or web site in the Add a Resource drop box
Paste the URL in Location.
If the course is not open and you do not want students enrolled in the course where the file resides then you may need to come up with another place to store it.
I have a web based document repository system that is open and put files I want accessed from multiple links there.
Someone may have a better solution.