Ususally you place the Access database file 'above' the root folder of the web site so that it is not accessible through the web site using a simple URL, i.e.
The root folder for
www.domain.com is..
c:\inetpub\wwwroot\domain.com\htdocs
The database file would then be located..
c:\inetpub\wwwroot\domain.com\private
ASP files cannot be 'downloaded' by the end user although I've noticed a lot of people use the extension '.inc' especially for configuration files - if an end user guesses the name of this file they can download the raw contents of this file.
Hope this helps.