Not with HTML, but you can do it by setting the HTTP header using a scripting language:
$filename = "document.pdf";
$path = "files/pdf/";
header("Content-Disposition: attachment; filename='".$filename."'");
printf("Could not read file %s located at %s", $filename, $path);
Be careful with which files you allow in this function, though, as this function will download any file without parsing it, including PHP files with your database password, etc.