Internet explorer has buggy download manager and it often keeps you from downloading anything. I have also found that based on low connection, it stops resuming or cuts the download in between. If you're using firefox then there is no issue with download management. But if you're using internet explorer or opera then it's better to use official microsoft download manager. This software works with all the versions of windows. But not before XP, supported versions are from XP onwards.
I did tried to use this download manager with cross over in linux. Not working that way. But for pure MS OS install it is possible to use it. Most of the downloads from the microsoft website can be easily resumed. You can also use it to download other files from other sites. Current limitation is that it is not supporting FTP based downloads. I guess that is because of security and piracy reasons. Anyway, here is the link to download manager.
I've never used Windows download manager, but I agree with you about IE's download dialogues. Somehow they seem to drag down the speed of the download and fail with the slightest interuption in the connection. I definately prefer to use firefox to handle downloads, even the resume function of broken or paused downloads works great (for none header downloads at least). Have you ever tried using JDownloader? I was skeptical about it to begin with, but once I gave it a try I began to fall in love with the interface and it's capabilities. It's clever how it can be used as an autodownloader for sites like rapidshare and megaupload, but even for general use it's a natty little tool. It's even capable of resuming header downloads. By header downloads I mean web pages that output the download to the content header of the page, preventing common download managers like in FF and IE from pausing and resuming downloads since there is no direct link to the download (index.php?download=123). Also JDownloader acts as an FTP download only client and a torrent client. It seems to handle pretty much any type of download.