Hmm,
This is a far-fecthed way of doing it:
Create a document with two frames:
Top frame: your website
Bottom frame: (about 1 pixel tall), the file that is to be downloaded.
IE and Netscape will automatically prompt the download from the bottom frame.
In the main page with the two frames, include this code:
<frame src="top.html">
<frame src="download.zip" onLoad="document.location.href='download_complete.php'">
I'm not sure whether this will work, but I'm definite that the onLoad function will only execute AFTER the document has been loaded. i.e. after the download completes.
Another method would involve the same process as above but you can load a small popup window with these frames and have a message saying "Please don't close"
let me know if this works,
-sridhar