If you are including your own dl client, etc then do as the above poster suggested. and pass the username and password as a arg, or probably better would be some sort of hash you could decode on your end (unless you are sending over ssl).
If you just want to call up the users default browser and go to a web page to enter the user/pass, then you can do it with sessions and redirects.
First, write a quick script for download that will take the file as an argument, like http://you.com/dl.php?filename.exe
In that page, start a session. See if there is a session variable set to indicate good login, and if there is, send the file. If there isn't, set a session var to indicate teh file they wanted and use a redirect header and send them to a login page.
Start the session on the login page, start by processing the login information, if it is logged in already (other browser window open from a previous update dl moments ago) and a desired file var is set, redirect 'em to the dl.php script with the file as the arg again. If it isnt logged in yet, and you have auth tokens, process them. If they are right, set the login ok variable and redirect to the dl page. if they arent correct, or arent there at all, show the login form.