Could you download the files and write them to the apps internal space using the methods explained here : Internal Storage
Files written to the internal storage are automatically removed when the user uninstalls your application.
From what I've read Android does not allow you to modify the uninstall process to help protect against malware.
Starting with Android 2.2 (API level 8) apps can be installed on the sdcard.
See here for more info : Installing to application to sd card
Edit : apparently there is also an external cache that you can use that, according to the doc gets removed when the user uninstalls your app also : External cache
