In my game authentication article I suggest using Tiger hash for authentication, because MD5 is starting to show its age. If you're doing authentication, then that's a good article to start with. (However, I'd recommend you look at existing implementations such as Kerberos, for actual code)

Well you could try TransmitFile.

Seems to be pretty close to what you want ;)

To authenticate people already mentioned hashing but since your download from your own server that really shouldn't be that much of a problem.

The UNIX equivalent is sendfile(), although it's implemented slightly differently on different UNIX-es (where some allow you to use writev-style scatter/gather to prepend headers, etc).