beatnik has it. This is certainly possible and often done. You are looking for what is known as an 'anti-leech' script. It is most often used on sites that offer many *ahem* popular files for downloading. The script prevents bulk downloaders from getting to the files.

It is usually implemented as a form, where you have to type something in (often a word from another page). The script then sends you the file using the correct headers. One example of the headers is here.

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Jeremy
I didn't believe in evil until I dated it.