A download manager is an application that helps you to download files faster (especially big ones); it re-starts downloading after breaking connection.
Wget is a kind of console applications but you can use GUI for it called Gwget.
1. Installation: apt-get install gwget
a. Run it from: Menu-> Network-> Gwget Download Manager.
b. Copy downloading file link from a web browser.
c. Add it to Gwget and wait for finishing.
2. For KDE there is KGet Download Manager as a part of the environment.
Wget home page: http://www.gnu.org/software/wget/wget.html
More about Wget on Wikipedia: Wget
Gwget home page: http://projects.gnome.org/gwget/
Gwget on Wikipedia: GWget
KWget on KDE home page: http://www.kde.org/
KGet on Wikipedia: KGet
Quick Downloader Edit
Small but system independent applications works with Java.
1. Download "OSIndependent" file from: http://qdown.sourceforge.net/ and extract it.
2. Get in the new created "OSIndependent" folder in Termial as an user and run it: java -jar QuickDownloader.jar
DownThemAll! Edit
FireDownload Edit