sure, create a page, fill in the details in the product details section:
you need to add the sku, description, option/price and then tick the stock available box.
For downloads you need to have used the downloads page to upload a file, once you've done that you see a dropdown box next to the option/price to choose the download to link to that product.
The form is auto added to a page, and after payment, if the transaction was quick enough the link to the download will appear when they return to the site. However the link is also in the email sent to the customer after a successful transaction.