How about tar/zipping them on the fly? If not, a simple JavaScript that opens a few popup's to open the download file will do the trick (they will disappear once it detects that it's a download):
<SCRIPT>
download1 = window.open("http://www.myserver.com/file1.zip", "_blank", "width=10,height=10");
</SCRIPT>
will bring up a small 10x10 window that will start the download and disappear. Of course, you can use PHP to make multiple instances of this script on your "download" page.
(BTW, why specifically to Windows? Do you mean just copying files from your Linux box to your Windows machine? If so, use Samba)
