Microsoft recently released Internet Explorer 9 RC and it included a download manager. According to Microsoft:
Download Manager is integrated with the Windows download folder. It’s an easy way to interact with file downloads, which means you can sort, print, or send your downloads to another location, just as you would with other files. You can also use Download Manager to control your downloads, including everything from running or opening files to pausing or canceling downloads. You can even delete downloads from Download Manager.
