I used to swear by GetRight, but now I use LeechGet. Whether or not you're using broadband, it's great for queueing multiple downloads, resuming interrupted downloads (which may occur even on broadband - if you restart the machine, or if the server gets overloaded for example - or you may wish to interrupt a download because you want to do something more important).
It also integrates well with both IE and Firefox.
There's a free version and a paid-for version. See here:
http://www.leechget.net/en/