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”?