But what if I loose connection?? I never saw any effective solution for that. And all IE would ever do is say 'there's a problem downloading this', maybe give you half of the file, and you're stuck trying to download the whole thing again.
Programs like GetRight could resume a partial download, but the catch is that that is only possible if the server that hosts the content supports resumes, and will give you the partial file. If the server insists on giving you the entire download again from the start, then there's nothing a download helper can do to work around that...