How can I allow users to download the whole folder from Drupal? Is there any easy way? As far as understand, right before they click download link I need to execute php script on a server that will zip the folder and return link to user. This is just too complicated for me. Is there any module that can work? The best I've found is: http://drupal.org/project/download_file but it seems it only works with single file. I have a shared hosting.
Depending on what level of access your users have the ElFinder module is capable compressing and making a directory available for download.
What directory are you allowing your users to download? Be extra careful that they cannot download critical files like /sites/default/settings.php!