Internet Explorer may have improved a lot with its latest version, but it still lacked an efficient downloading system. However, you can have that now with Enterra Download Manager.
This plug-in handles all your downloads from a bottom window where it displays extended information about each file.
The window takes up quite a lot of space, but luckily enough you can hide it.
It can manage downloads from password protected servers and has support for proxy servers as well. The only thing we missed was the ability to limit bandwidth usage -this option was inexplicably disabled in the plug-in's configuration options.