There are several file download manager tools available, including free as well as paid one. It’s very unfortunate that Microsoft didn’t provide download manager like tool built into Windows OS itself.
Though late but finally Microsoft has come up with its own download manager, Microsoft Download Manager. The Microsoft Download Manager enables you to download files from the Internet in a more reliable and faster way than using a browser alone. Microsoft Download Manager supports following Windows OS and Browsers.
Windows 7; Windows Server 2003; Windows Server 2008; Windows Vista; Windows XP Service Pack 2
Internet Explorer 6, Internet Explorer 7, Internet Explorer 8, Mozilla Firefox 2, Mozilla Firefox 3