advanced file permissions

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Hi all,
I am struggling with the following requirement:
I want to make sure only the right users can access files/pictures which are stored in the data store.
I tried advanced permissions but I got it working only for links to the file in pages.
And always if you entered the full URL to the file it could be downloaded even without a user in my site.
How can I fully control access to files especially pictures.
My hope would be that I embed them into pages and they can be accessed only via these pages by authorized users.
Somehow I do not get it...
Any help would appreciated!
Thanks in advance
Johannes