Some questions and answers:

Q : I added some files to my File Picker but they aren't showing up on my website

A :  Check the file permissions on your files. Adding them to the file picker will still hide them from users that do not have permission to view the files.

Q : Does the File Picker support alternative storage locations?

A : Not at this moment. It should work but I don't offer support at the moment untill I get a proper test environment working (I'm having some issues configuring Amazon S3 storage at the moment).

Q : How does the password prompt work?

A : Password protected files get a CSS class in the template. Some lines of Javascript pick up on this and prompt the user when he clicks on the link to the file. An AJAX request checks the password and returns whether or not the password is correct. If correct, the downoad is started. Otherwise, an error message is displayed. The user has to enter his password each time he wants to download the file. You can customize this process to use a modal for example instead of the prompt but some knowlegde of Javascript and HTML/CSS is required.