Just in case you mean you want a "download manager" i.e. an application that will resume a partial download if the connection breaks for whatever reason then have a look at the Tucows recommendations: http://www.tucows.com/downloads/Windows/Internet/DownloadManagers/
Scroll down past the adverts for a list of shareware & freeware.
Download Mage is excellent. I used it on another machine when I had dial up internet access. It's shareware so not free unless you obtain a keycode from somewhere
Many bitorrent and peer to peer clients will download files from http and ftp sources too.
FreeDownloadManager is a good one, although some sites don't like it for reasons too technical for me to understand (apparently the way it works makes some servers think that umpteen terabytes have been downloaded).