Life Hacker choosed the best download managers (consider that their idea not have to be exactly true) , and on top of them was Down Them All, a Firefox extension that add a download manager to Firefox, to get it check here.
P.S : we have all bad memories of how IE wasted our downloads by not having resume capability, I wonder why they don't improve their download manager, if you want to have built-in (I mean integrated) download manager you can use Leech Get , I'm using it and it's not so bad.
Thanks to 1fathi