It's a rule of English to add the auxiliary verbs "did, do/does and will" when asking questions.
"did" is for past
"do/does" for present
What I think that might have confused you was the fact that the preposition from was moved towards the head of the phrase, which is not very common in informal speech.
It is normal in formal speech tough; prepositions tend to appear before the relative pronoun (which, where, who, whom...), considering that the relative pronoun is the object of the preposition.
In your sentences, you are asking for the object of the preposition from, which is the only field that must be completed:
Did you download this file from "field that must be completed".