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If you are using Sitecore roles to secure media items so that only authenticated users can access them you need to do a couple of tasks:
  1. In the Sitecore configuration find the site definition beneath /sitecore/sites and add the attribute loginPage and specify the URL to the page where the user will login.
  2. You should ensure that the media items are only served over HTTPs, in previous version you could have used the Shared Source module SSL Redirector from the Sitecore Shared Source site however this hasn't been updated for 6.2, so you will have to do a bit of coding. You need ensure that secured files are served over HTTPs because you don't want intermediary servers caching the files as they are sent.