Notifying a user after send_data

I've got a couple of places in my app where a user can click a link and download a file, which is generated by send_data. However, with browsers nowadays set up to make downloads as unobtrusive as possible sometimes we run into situations where users aren't aware that the download has happened.

Is there a good way to let users know "Hey, your download has finished" without having to do something like redirect them to a download page? Any way to have some JavaScript that will either pop up or reveal a div or something to say "It should be done now - check your desktop"?