"Its no different than clicking on a link to a file for download"
and that is exactly the point.
a) If you redirect a user to an AVI, and the browser knows how to handle AVI, it will start playing it instead of downloading it to disk.
b) by redirecting the user to the file, he can bookmark it, send it to his friends, and bypass all security you tried to build in through the script. Using the headers he must always load the script to get to the file.