"Download manager" is a general term for an application that lets you queue up downloads and download them in many pieces to speed it up. Of course, if you're downloading 14 chunks of a file at the same time, you're eating their bandwidth, and they don't really like that.
IE's "download manager" is just the name MS gives to the window that shows what you're downloading. Unless you go download and install an application like Speed Download or iGetter, you're not using a download manager.