If you ZIP the files that you want them to be able to download, when they choose a file it should automatically open the 'save as' dialogue box. If you have the ZLIB module installed, you can do this with PHP. or, you could manually ZIP them up and upload them. Look under 'Compression Functions' in the PHP manual for an explanation as to how to use the ZLIB module.
As to how to allow them to choose the file, you can use hyperlinks, a select list, checkboxes, ect, and pass that request along to the server. You can generate the list of downloadable files via PHP, and not even worry about the PHP for the download itself.
Other than that, you could use javascript to generate the download box, just like the upload box, or use JAVA. Sorry, I don't have either of those scripts handy, you might try looking at http://developer.irt.org/script/script.htm for the info on the Javascript.
