If you double click on the file from the media tab, you can click on Options and hover 'Download this file' link.
But I'm not sure what you mean by 'without publishing it on the site'. When you upload the file from media tab, it's already published.
Dejan, "When you upload the file from media tab, it's already published" - you can delay publishing of media files. So not always file being uploaded to the site means it's published automatically.
Didn't know that. Thanks!
CMS 7.5: in media tab: How can my editors see the public url to a mediafile pdf without publishing it on the site? in CMS 6 you just clicked the file?