Competing with all other browsers having their own little download managers, Microsoft has released a download manager for Internet Explorer. You can download this download manager separately and install it. This download manager called Microsoft Download Manager supports only HTTP (http://) links for now. Here is how you can download and install it :
You can download Microsoft Download Manager from the direct download link : MSDownloadManager.msi. Microsoft Download Manager is supported only on Internet Explorer 6.0 and above. It is supported only on Windows XP, Windows Vista, Windows 2008 and Windows 7.
Although, the Microsoft Download Manager requires atleast Internet Explorer 6.0, yet it is not integrated with Internet Explorer. You have to manually start the Microsoft Download Manager from Start Menu → All Programs → Microsoft Download Manager → Microsoft Download Manager. When Microsoft Download Manager window starts up, you can click on the down arrow icon in the toolbar to add a url to download.
You can pause (suspend) and resume a download. This feature works only if the download server supports download resuming. Some servers do not support this and if you click on suspend, then you will have to start the download process all over again.
You can also change the settings by clicking on the settings icon in the toolbar. In the settings dialog, you can change the proxies, download folder, number of con-current downloads etc.
For more information you can visit Microsoft’s help page : http://store.microsoft.com/help/download-manager.