Вот начало сессии собраной wireshark:

GET /ng/test.exe HTTP/1.1
Host: такой-то
User-Agent: Mozilla/5.0 (Windows; U; Windows NT 6.1; ru; rv:1.9.2.15) Gecko/20110303 Firefox/3.6.15
Accept: text/html,application/xhtml+xml,application/xml;q=0.9,*/*;q=0.8
Accept-Language: ru-ru,ru;q=0.8,en-us;q=0.5,en;q=0.3
Accept-Encoding: gzip,deflate
Accept-Charset: windows-1251,utf-8;q=0.7,*;q=0.7
Keep-Alive: 115
Connection: keep-alive


HTTP/1.1 200 OK
Server: nginx/0.8.53
Date: Wed, 16 Mar 2011 12:42:14 GMT
Content-Type: application/x-msdownload
Content-Length: 28746752
Last-Modified: Wed, 05 Jan 2011 02:45:46 GMT
Connection: keep-alive
Accept-Ranges: bytes

MZP.....................@.......jr......................................!..L.!..This program must be run under Win32

видно что и контент несжатый и хедеров нет
вот установка Content-Type в модуле:

r->headers_out.content_type.data = "application/x-msdownload";
r->headers_out.content_type.len = 24;


очень надеюсь на помощь