Gerardo,
1. Where did you upload the files?
2. Did you use the file feature under course admin on the course website?
3. How are the students accessing the files, via a resource?
4. What does the login screen say? Is it a moodle one? Could it be that the files have been uploaded into a directory that is password protected via .htaccesss?
5. Can you send a screen shot - that will help?
Jeff