The PHP manual has some information about this in header() function part: http://us4.php.net/header
If you want the user to be prompted to save the data you are sending, such as a generated PDF file, you can use the Content-Disposition header to supply a recommended filename and force the browser to display the save dialog.
// We'll be outputting a PDF
header('Content-type: application/pdf');
// It will be called downloaded.pdf
header('Content-Disposition: attachment; filename="downloaded.pdf"');
// The PDF source is in original.pdf
readfile('original.pdf');
Make sure and read through the user contributed notes, there are some issues with IE, if I remember correctly.
hth...