Thank you very much Jeremy for your help. As you suggested I create temporary dir and place files there. Wicket is really great! The solution to my problem was just in couple of lines of code:
org.apache.wicket.util.file.File wdir = new org.apache.wicket.util.file.File(createTempDirectory()); ZipResourceStream zrs = new ZipResourceStream(wdir); ResourceStreamRequestTarget target = new ResourceStreamRequestTarget(zrs, "download.zip"); RequestCycle.get().setRequestTarget(target);