How can I create download link in HTML?

A download link would be a link to the resource you want to download. It is constructed in the same way that any other link would be:

<a href="path to resource.name of file">Link</a>

<a href="files/installer.exe">Link to installer</a>

In addition (or in replacement) to the HTML5's <a download attribute already mentioned,
the browser's download to disk behavior can also be triggered by the following http response header:

Content-Disposition: attachment; filename=ProposedFileName.txt;

This was the way to do before HTML5 (and still works with browsers supporting HTML5).

This answer is outdated. We now have the download attribute. (see also this link to MDN)

If by "the download link" you mean a link to a file to download, use

  <a href="http://example.com/files/myfile.pdf" target="_blank">Download</a>

the target=_blank will make a new browser window appear before the download starts. That window will usually be closed when the browser discovers that the resource is a file download.

Note that file types known to the browser (e.g. JPG or GIF images) will usually be opened within the browser.

You can try sending the right headers to force a download like outlined e.g. here. (server side scripting or access to the server settings is required for that.)

In modern browsers that support HTML5, the following is possible:

<a href="link/to/your/download/file" download>Download link</a>

You also can use this:

<a href="link/to/your/download/file" download="filename">Download link</a>

This will allow you to change the name of the file actually being downloaded.