It is possible to download to the PC in a background job.
SAP had provided an executable that you run on the Presentation Server (for the life of me I can no longer remember the name of it, though). I remember seeing this back a few years ago, but I'm not too sure where you can get it now.
What it did was allow the Application Server to know where it was sending the File.
On a side note, WS_DOWNLOAD and WS_UPLOAD are now obsolete as of 4.70 (or SAP Enterprise) and you must use GUI_UPLOAD or GUI_DOWNLOAD or you can use the Class CL_GUI_FRONTEND_SERVICES
and call the method.