You hand over the physical medium it is stored on and keep no copies.

    > How do you return something that was downloaded?

There was a public gesture where his attorney physically handed over some hard drives. Then the US Secret Service allowed him to access it once in a while to build his defense.

Since I have slightly trollish inclinations, I emailed JSTOR's customer service after they made that weird announcement about wanting files "returned", expressing my worry over which content was "missing", and when they expected it to be returned and available again. I got a short response claiming the media had misreported the situation:

Thank you for your message. Some of the media details about this incident have been a bit misleading. I can confirm that no content is missing from JSTOR as a result of the recent misuse case. Copies of the files were downloaded from the site, no content is unavailable as a result.