I'm not sure such a library exists. Unless you are on a very fast line [or have a very slow processor], it's unlikely to save you a huge amount of time. Decompressing several gigabytes only takes a few seconds if all the data is in ram [it may then take a while to write the uncompressed data to the disk, and loading it from the disk may add to the total time].
However, assuming the sending end supports "range" downloading, you could possibly write something that downloads the directory first [by reading the fixed header first, then reading the directory and then downloading the rest of the file from start to finish]. Presumably that's how "pinch" linked in epatel's answer works.