For my little Smallscript IDE (www.astares.de) I've used 
another trick to create a quick download:

The urlmon.dll on Windows provides a function URLDownloadToFile()
for downloading an url to a specific file. I wrote a little 
Installer tool (39k in size) to download the big setup.exe
(2MB), so people get a fast feedback on the program even if the 
full download takes more time.  

A screen shot of the Installer tool can be found at:
http://www.philemonworks.com/smallscript/screenshots/installer.htm

Tools like the Cygwin package do the same on windows. You just install 
a small "downloader" entertaining the user until the full download is
finished.

Bye
Torsten