I've used a technique that works with apache on Linux and BSD systems and older browsers that don't understant content-disposition headers. I name my CGI without an extention and call it in this fashion:

http://www.domain.com/cgibindir/mycgi/arg1/arg2/filename.ext

Apache will execute the right script even though /arg1/arg2/filename.ext doesn't exist on the file system. You then parse $ENV{PATH_INFO} for the arguments you need. This fools pretty much every web browser to save the right filename without the need for 'attachment' headers that might only work on some (but most) browsers.

Tiago