Hi,
If it's a PDF file, then you can directly upload the file in the Files area. If you have a checkout with registration, the download link will only work when the user is logged in with a user with a purchase for that download. So even if the user shares the download link, others won't be able to use it. They'll be redirected to a login page when trying to use it.
Now, if you want an iframe with the content in it, you would have to add this to Joomla articles.
You could use hkshow tags to restrict the display of the iframe in the article based on whether the current user purchased the corresponding product or not:
www.hikashop.com/home/blog/471-hikashop-4-4-3.html#tags
Something like this:
{hkshow bough="xx"}
<iframe ....>
</iframe>
{/hkshow}
where xx would be the id or the code of the product.
And if you wanted to have a listing of all the purchased courses you could have a Joomla article with all the iframe tags with hkshow tags around them. That way, only the iframe for bought products would appear on the page.