Make use of built-in PHP function readfile:
$file_url = 'http://www.example.com/file.exe';
header('Content-Type: application/octet-stream');
header("Content-Transfer-Encoding: Binary");
header("Content-disposition: attachment; filename=\"" . basename($file_url) . "\"");
readfile($file_url);
Also make sure to add proper content type based on your file application/zip, application/pdf etc. – but only if you do not want to trigger the save-as dialog.