In the dawn of time the internet was fresh and new, and everything in the World Wide Web was simple and straightforward. Web pages consisted of little else than text, inline images and links (to either other web pages or files).
Page design was usually pretty simple. For example, an online photo album would usually be a page with lots of small thumbnail versions of the photos, which were direct links to the full-size image files (usually JPEG; and in the early days of the WWW sometimes also GIF). In other words, you would just click the thumbnail image, and the web browser would then show you the full-size image, and that's it.
Likewise if a web page offered some other file, such as for example a compressed zip file containing something inside, the web page would simply have a direct link to the file itself, and that's it. You click the link, and the browser gets the file (asking you where to save it, or whatever). Straightforward and simple.
When the WWW got popular, the big web browsers (starting with Netscape and later followed by IE) started offering their own extensions which web pages could use. These included things like JavaScript, cookies and referrer strings. This not to talk about the fuss about the so-called user agent string which all web browsers have been sending since the early days of the Mosaic browser (and which is a quite long story in itself, and the reason why all web browsers in existence pretend being Mozilla even though they aren't, making the whole user agent string kind of obsolete).
At some point some people decided that giving direct links to resources (images and other files) is way too easy. The initial motivation for making it less direct was to make it easier to keep download counts. (This would be rather moot because the HTTP server keeps a log of all requested files, and thus resolving how many times a certain file has been downloaded is as easy as counting how many times it appears in this log file. However, in the early days of the WWW, and in many cases even today, people did not have access to the HTTPD log file, or didn't even know it existed, and thus they had to implement other ways of counting how many times a file has been downloaded.)
For some reason this kind of indirection, ie. avoiding direct links to files, got really popular, to the point that it got completely out of hand.
For example, check almost any online photo album out there, and see how many you can find which consists of small thumbnail images which are direct links to the full-sized image files. Instead (and assuming there are collections of thumbnail files in the first place) they are links to another web page which might or might not contain the full-sized image. In the worst case that another web page does not actually contain a full-sized version of the image, but instead some medium-size version. You might get the full-sized image from this second page by clicking on the image or on some link around it, if you are lucky. Often this requires JavaScripts, and sometimes even cookies and/or referrers, to be enabled. Sometimes it will try to launch a popup with the full-sized image, and usually in these cases it will still not be directly the image file, but yet a third page which contains the image inlined. Usually the only way to get a direct link to the image is to somehow get it on the browser and then using the "View Image" or whatever option in the context-menu of the browser.
Getting other types of files, such as a program installer or a compressed ZIP file (which might contain eg. a program library or whatever) is often even harder. Nowadays it's hard to find a web page which distributes such a file and which would have a direct link to the file in question. No, a download link must always point to another web page instead, where if you are really lucky, there might be a link to download the file. In many cases, however, that another page will only contain a link to a third page (eg. some kind of "choose a mirror" page) and in extreme cases that one might yet contain a link to a fourth page, where you might finally get hold of the file in question. And more often than not, these pages will require JavaScripts, cookies, referrers, or any combination of them, to be enabled.
This has got completely out of hand. We are in a situation where you simply can't just download a file or image, period, and instead you have to jump through hoops to get to the file, enable all kinds of things in your browser, and whatnot. This is often really irritating.
How hard can this be? For example, check my POV-Ray pictures page. It might not be fancy and well-designed, and it might not have all the bells and whistles, but it does its job: It's simple and straightforward, and you can check the full-size images as you wish, without having to jump through any hoops.