Neither the download managers that come bundled with Firefox or IE are particularly impressive so it's a good idea to add a third party downloader or plugin.

Fresh Download claims it can "turbo charge" downloads to make them download in less than half the time they would normally. It works with both FTP and HTTP protocols and gives you a whole range of control over how downloads are completed. Included is a pause and resume feature which is very useful for broken downloads or those downloads that suddenly and annoyingly time out. The program achieves such high speeds due to it's ability to connect to multiple connections and it works across most major browsers. if you don't want to carry out downloads immediately, you can also schedule them for a later date and it can even download links that you've copied to your clipboard or dragged into the main interface from your desktop. If you're downloading zip files, it can also decompress them automatically with it's own Zip extractor although note that it's not particularly powerful or fast - you'd be better using WinZip or WinRAR.

Although you won't notice huge download speeds, you will notice an improvement and besides, this is a much easier way to manage downloads.