hmm, i need to ask you what do you mean by "download"
if you talking about buying films from online stores - most of them allow using any download managers like
Download Accelerator Plus (DAP) 9.2
Download Accelerator Plus (DAP) - Free Download Manager
or even GetRight - not recomended in my opinion xD
Resume Downloads, Schedule Downloads, Accelerate for Faster Downloads - GetRight Download Manager
if you asking for P2P client (like torrents
my choice is BitCommet (current ver. 1.13)
Download BitComet - A free C++ BitTorrent/HTTP/FTP Download Client
it also allow http, ftp download as well