A simple way (which iirc is what tucows do) is to send them straight to a thank you page, but include a javascript open in it, that opens the file they're trying to download, so they get the prompt to open/save the file, and are then still left on the thanks page.
Ah, seeing chadys post, using a meta refresh tag is a much better idea that javascript, though the result is the same. Also, you can actually print a real HTTP refresh/location header, instead of the meta tags (which will hide how you're doing it, to the casual user)
the hatter
