Downloading large files might consume much of your precious time, which is why most people prefer using some download manager. I never felt the need to install one myself, but it just occurred to me that I should try one, because I might need it one day for downloading some large files.
Check out the list of various download managers available at http://www.ubuntugeek.com/list-of-download-managers-available-in-ubuntu.html.
I installed Gwget, which offers a GNOME front-end to the Wget application.
Open the terminal, and type,
varsha@varsha-laptop:~$ sudo aptitude install gwget
1. Select Gwget Download Manager from Applications-> Internet.
2. Click New. Copy-paste the URL of the file you want to download and browse the directory where you want to save it.
3. Click OK.