The Adventure of Link
In The Adventure of Link it can be performed by jumping and then holding the down button. Link must learn the Downward Thrust to complete the game as there are keys as in the Island Palace that cannot be reached without it.
The Minish Cap
In The Minish Cap, it is performed by jumping with the Roc's Cape, and pressing the sword button. It is useful against many enemies.
Link receives a cryptic hint about a bell tower that operates without a ringer.
If only Link could jump high to reach that door...
Link Receives the technique from the Knight.
The scroll obtained from Swiftblade