Internet Explorer has a file download limit of 4GB (2 GB on IE6). Firefox does not have this problem (haven\'t tested safari yet) (More info here: http://support.microsoft.com/
The problem with the applet approach mentioned is that unless you have the end user modify their java security properties your applet will not have permission to save to the hard drive.
It may be possible using Java Web Start (aka JNLP). I think that if it is a signed app it can get the extra permission to write to the hard drive. This is not too different from the download an exe approach. The problem with this is that the user has to have the correct version of Java installed and has to have the Java Web Start capability setup correctly.
I would recommend the exe approach as it will be the easiest for the non-technical users to use.