For the download into a fabricated board, you need at least a file like *.ucf with pin assignment, of course together with the VHDL code file. Usually, ucf file is included in the documentation of the board if this is a kit bought from some vendor. If it is your own board, then you need to create the pin assignment for example using the User Constraints process in ISE. If you are not familiar with ISE, you can use some tutorial given in Xilinx www pages.
If you omit the pin assignment then ISE makes its own assignment but it surely will not agree with your signal-to-pin assignment and the board will not work.