Bug on login

When I choose to make downloads only available to loggedin users, if the user is not logged in, instead of a popup to appear with the message, the whole site gets killed and a new basically blank page with only this message appears instead ” you must login to access”. BUT this page is basically OUTSIDE the normal layout, there is NO link back, no header, no nothing!
How can I make that message either appear in a popup or right where the download button is placed is on the respective page? Like inside that div or tag or somehting.