File downloads can take a loooong time, so I suggest you don't start any from the php script.
If you are on a un*x system, look at a program called "greed"
not only will it download ftp and http from just the URL, it will also
act like download manager, and retry-downloads.
You can use PHP to make a list of files and use a shell script to start the download.
If you are on windows.....
#$&%
NO CARRIER