If you're sharing the link to someone else's software, you should ask the author of the software product for guidance. Most authors would prefer you to link to a download page rather than the binary itself (usually for advertisement purposes).
If the binary depends on the platform, point to the download page. In your question, the second link would be meaningless for most Windows users who don't know what is that. On the other hand, when I follow the first link, the page shows me a button to download the .exe file; your .tar.bz2 file is mentioned, but one has to scroll a lot before seeing it.
If there are multiple versions available for the same platform (for instance a free version and a trial of a paid version), lead the user to the download page in order for her to know exactly what is being downloaded. Some would like a trial; others would want a free version only.
If an ordinary user needs additional instructions to install the software product, lead her to the download page.
If the app targets non-technical users and the file is an executable, lead to the download page which explains how to run the executable. Some browsers and operating systems make it very painful (for security reasons) to run an executable; a non-technical user can easily be lost, faced with confirmation messages, security warnings, etc.
Only if the installation is straightforward, corresponds to a single version of a single file for the user's platform, doesn't require any instructions and targets users with technical skills, go for a direct link. Make sure users understand that the link points to a file to download. The link such as:
Download Gimp (.tar.gz; 16.5 MB) before continuing the tutorial.
is explicit. On the other hand:
Get the new version of Gimp from our trusted source.
is not, because there is no hint that the link points to the .tar.gz file.