Downloading Data from Database

I am adding a feature to my site where members can download their information from the database. What is the best way to accomplish this? Create a text file every time a member wants to download their info? I thought about this ..how would I handle deleting the text files when I was finished and what would prevent others from downloading the file? I read somewhere that files can be created on the fly or dynamically anytime a download takes place. This sounds like a good idea cause there wouldn't be any files on the server. Any idea where I can get more info on that? Thanks Randy