strange behaviour downloading a file on secure server

Perhaps someone knows what to do:

I wanted my ISP to set up phpmyadmin at the secure server section. But when dumping SQL-files, not the dump is beeing downloaded, but the source (PHP) file which should generate the dump is about to be downloaded, but fails.

So I tried using PHP a dump action by myself. Same result.

It seems, that EVERY file generated by PHP in streaming mode will not work on the secure server.

Here's my example:

<?php
header("Content-disposition: filename=$db_name.sql");
header("Content-type: application/octetstream");
header("Pragma: no-cache");
header("Expires: 0");

print "# MySQL-Dump\n";
print "...etc....";
?>

Maybe a matter of server configuration ?

Any help appreciated,
Gerhard