Depends upon what you want. Do you want to give dynamic downloads like:
?file=filename.ext
If so, using download.php would be a "cleaner" way of doing it.
If you're speaking in performance issues, I highly doubt that there will be any significant difference between including one file at the top & bottom, verses one file in the middle. Either way, you still have to include a file.
If you're worried about the URL, you can rewrite it with a .htaccess file to be something like:
index/download/file.ext
I really think either will work for you. It's a personal preference thing.
~Brett