which is correct "at the following" or "on the following"

For me, the correct interpretation is at the following link.

Why? Because URL's are "Uniform Resource Locators". They identify a way of finding something, and you can find that resource at a location.

Conversely, On serves no purpose (in this context). If I had a specific server in mind, where I knew a file was, I might say to you "Frodo, you can find that file on Server2". It's on that server.

But links aren't servers, they are directions and so you can find it at that arbitrary-location, irrespective of the real location.

That's my interpretation anyway :)

on the following is incorrect.

at the following is correct, but verbose.

I would avoid both options and remove "the following link" from the phrase. This part of the sentence actually says nothing. following merely confirms that the thing you're talking about is coming up next in the sentence and link identifies it as a link, which it obvious.

It's like saying the following word is a synonym for cat: feline. Instead, just say feline is a synonym for cat.

I would say

you can find the file at http://...

or

you can download the file from http://...

I personally despise the use of please find or its hideous overseer please find attached. Consider a terser and more practical tone.

*The report ( http://... ) provides details..."

*Your requested file is now avaialble at http://..."