hmm.. couldn't find any usefull info either :S
first a little info on how dnn modules link to files. When DNN modules create a link to files, the link will look like linkclick.aspx?fileticket=..... Instead of directly linking to the file, dnn will stream the file to the client, first checking if the user has enough rights to download the file
There are 3 types of filestorage: standard, secure and database. You can use any of the 3 types by just creating a new folder of one of the 3 types. Standard means that files are just put on the filesystem of the webserver as normal files. Eg, if you have a file that is named "mydocument.doc", and you put it in a standard filefolder "mydocs" under the portal root, then the file would exist in this directory: "/portals/[portalID]/mydocs/mydocument.doc". This file is not protected from download, which means that if someone knows this location, the file can be downloaded from http://[yourdomain]/portals/[portalID]/mydocs/mydocument.doc.
If you select secure filesystem, all files in the folder will be appended with the extension ".resources". This extension is prohibited from download in IIS, so nobody will ever be able to download the file except through DNN.
If you select database, all files in the folder will be put in the database. Although this is very secure (because the file is not even accessible for anyone that has physical access to the portal directory, you should be carefull with this because your database might grow very large, and also, SQL server is a bit slower at serving files than windows server