A Download Manager from Microsoft

The Microsoft Download Manager enables you to download files simply and easily. It also makes downloading large files such as application and multimedia files quick and reliable. It was specifically designed to help users manage file downloads from supporting Microsoft Web sites. Once started, the Microsoft Download Manager’s easy-to-use interface displays the status of downloads and enables you to suspend active downloads or resume downloads that have failed.

The Overview was from Microsoft - http://bit.ly/jpUZVd

It can run minimized in the process tray and pops-up a unobtrusive notification every time a file download is complete or if the program has trouble downloading a specific file.
The program can only handle files that are served over the HTTP protocol (no FTP) but it does support downloading of files that need authentication. It was originally designed to help users download files from Microsoft sites but there is nothing stopping you from using this program with any other site.
Microsoft Download Manager is compatible with all recent versions of Windows including XP, Vista and Windows 7.