I have added a feature to WP-DownloadManager that will allow you to add a remote file to the downloads. This remote file will looks as if it resides on your own server and the process is totally transparent to the user. The only downside is at times it is unable to get the file size and hence it will display as unknown.
I have added WP-PostRatings 1.20 Beta 1 as an example of remote file. Remember that the file does not reside in this sever but it is pointing to a remote file url which is http://downloads.wordpress.org/plugin/wp-postratings.zip
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