You know, like GoZilla or GetRight.
Download Managers are programs which give you more freedom/options in downloading files. Most allow you to pause and resume downloads at a later date. Some allow you to search the Internet for alternative download sources, combining them into one file in order to speed up the transfer.
They are useful for downloading large files, or if you\'re on an unstable connection. However, they have a tendancy to miss information when pausing/resuming, thusly resulting in corrupt files.