Thanks for your suggestions.
I'm now downloading with wget. It was just too simple to pass upon. No installation, no nags, small and fast.
I've been told that Download Accelerator contains spyware, BTW. Don't know if it's true. Someone else recommended GetRight, but since wget seems to fit the bill nicely I'm using that. I only need it if server connections are reset during large files, and I suppose wget will resume nicely in these occations. I haven't read the documentation yet. For small files I just download with MSIE as usual.
-Øyvind