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Go to system admin > templates > clone the default templates and rename them. Then go to system admin > preferences > general settings and change the default template to your new template. Then you can edit all your template files and the changes will be saved.
Go to system admin > groups and click on the anonymous group. Click the boxes for forums, news, downloads, etc for this group in the module access part, not the module admin part.
Now to keep anonymous users from being able to post on the forum or for news, go to those modules preferences admin and choose to keep them from those features. They will still be able to see the pages but they won't be able to post.
But for downloads, once you allow anonymous users to see the downloads page, they will be able to download. (as far as I know)