The built-in file download applet in any of the browsers (IE, Firefox, Safari or Opera) leaves much to be desired. They don’t support accelerated downloads (parallel downloads), most of their resume function don’t work as advertised. So you will need to use a 3rd party download manager especially for huge file downloads. The 3rd Party applications since they hook into browser process they tend to slow or destabilize the browsers. Over the years, I have found GetRight to be the best download managers.
After I moved to Windows Vista on a 64-bit Hardware I wanted something less resource hungry and with less frequent updates. I found Free Download Manager and I have been pleased with its performance for last several months. Check it out and the best part FDM is free and it is spyware free.