I dont understand, what can you do with a 'download manager' you cant do, just downloading, anyhhing?
Speed.
Downloading without a download manager:
Note the speed (438 KB/sec) and the estimated download time (49 minutes)
Same file with a download manager (DownThemAll!):
Note the speed (1.64 MB/sec) and the estimated download time (12 minutes 28 seconds).
It does this by opening multiple connections for the same file - in the above example 3 concurrent connections. You can adjust the number of connections in settings and some sites do restrict the number of downloads to 1 at a time.
The other feature download managers offer is queuing files - sometimes large downloads are split up into multiple chunks. With a download manager you can set the chunks to download all at once or automatically start the next chunk when one finishes.
DownThemAll! is the only download manager that currently works in XP.
Internet Download Manager, Free Download Manager, Eagleget, Xtreme download manager and others are external programs that rely on Windows XP's internal SSL certificates and as a result, won't download from most modern websites. (See the issue raised by the OP).
DownThemAll! is a Mozilla XUL extension that use Mozilla's internal SSL so any site you can connect to in the browser can be downloaded from.