I've put this same message in response to many peoples queries and it has resolved quite a few issues so I've decided to sticky this.
I'd suggest using Firefox first of all if you're not already using it.
Firefox web browser | Faster, more secure, & customizable
Now if you have firefox running I'd suggest downloading the plug in DownThemAll!
https://addons.mozilla.org/en-US/firefox/addon/201
It doesn't take much to figure that download manager out. It is fairly easy to use. If you're going to be setting it up to download from this site though you need to make sure you set the max concurrent downloads value to 1 otherwise it will mess up if it's set higher than that(default is 4). After you get all of that set up there will be a new option when you click on an item to download. Just select the DownThemAll! choice and you'll be good to go. If you're going to be queuing up more than 1 download from this site you'll also need to start them all paused until you've queued up everything you want to download. After you get the first file set up then you can just right click on all of the other files and select dTA OneClick!, and it will save it in the same folder as the first file you set up. Unless you want to change where the item goes you can always choose that option and save a little bit of time. Then just go to the DownThemAll! manager select all of the files, and click the resume button.
There are many other download managers that probably work out there. This is what I use, and I've never had any problems with the files from this site. If you have any further questions on how to use this just ask them, and I'll edit this to include the answers.
Dragonlady says Flock is better than Firefox and still works with DownThemAll! I don't know anything about Flock as I've never used it, but I trust Dragonlady's word on this so here's the link:
Flock Browser - The Social Web Browser
I have now tried Flock. I don't really see much speed wise difference, but it is a pretty cool browser.
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"But I don't want to go among mad people," Alice remarked.
"Oh, you can't help that." said the Cat: "we're all mad here. I'm mad. You're mad."
"How do you know I'm mad?" said Alice.
"You must be," said the Cat, "or you wouldn't have come here."