Internet Explorer 9 has an integrated way for you to access, monitor, and interact with the files you download: Download Manager. It's a single program that lets you see the status of your downloads, provides information about whether they might be potentially harmful, offers a full range of security checks on the downloaded files, and shows you the final location of your downloads.
See the video at http://windows.microsoft.com/en-US/internet-explorer/products/ie-9/features/download-manager
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