I don't use Microsoft IE in use Mozilla Firefox and I think the download manager is part of the standard download package, as it doesn't show up in the add-ons menu (unsure as my Bro put it on the PC).
Link:-
http://www.mozilla-europe.org/en/products/firefox/
No problems downloading from zen test file site using IE7 on my PC. Can you bypast your download manager and just use the standard download manager within Internet Explorer (try right click `save as')