I am using .net2.0 and IIS6.
When using .net Forms Authentication: How to limit access to resources like pdf files to authenticated users only; so in order to access a file say mysite.com/mydoc.pdf they would have to be authenticated first (go through the login page)
It seems that by default only the .aspx pages are protected. E.g. to include the .html, I had to follow the steps described here.
EDIT
Thanks guys for very quick replies, the answer by Keltex worked perfectly for me as I needed a quick fix for a demo system.
Other answers are very interesting as well and they will be useful when dealing with the production system.
You are more then welcome to post other answers