Microsoft come with a solution which Microsoft Download Manager where it is simple enough to use.
1. Download Microsoft Download Manager from here.
2. Just select the New Download button and you may now able to paste the URL to the Microsoft Download Manager.
3. You may do the setting as image above.
Microsoft Download Manager works on Windows XP, Windows Vista, Windows 7 and Windows Server 2008. Windows Server 2003 has not been specified as a supported operating system on the Microsoft website and supported browsers currently mentioned include Internet Explorer and Mozilla Firefox.