Hello.
Many thanks for your reply.
We are changing headers through PHP header() function.

Header is dispatching correctly from HAPROXY. It is as follows:
HTTP/1.1 200 OK
Date: Fri, 14 Oct 2011 01:18:08 GMT
Server: Apache/2.2.16 (Debian)
X-Powered-By: PHP/5.2.10
Expires: Thu, 19 Nov 1981 08:52:00 GMT
Cache-Control: no-store, no-cache, must-revalidate, post-check=0, pre-check=0
Pragma: no-cache
Content-Length: 77032;
Content-Disposition: attachment; filename="aaaa.txt"
Connection: close
Content-Type: application/txt

Logs from nginx debug:
http://pastebin.com/UrMXgYyf
(I have more - all from logging into system to 502, but there are so large actually :) )

Actually, I don't have any successful header...
Let me know if you want something, I can debug/prepare it if you need more informations.
Many thanks for all the help.