Can anyone download my NFT?

I've been hearing a lot about NFTs recently and I'm starting to get interested. But there's one thing that's really bugging me. Can anyone just download my NFT? I mean, isn't it just a digital file that anyone can copy and paste? Or is there some sort of protection built into it? I'm just not sure how it all works and I'm afraid my precious NFT might get stolen or copied without my permission. Could you please explain how NFTs are protected and how I can ensure the safety of my digital asset?