SongBoom Get Your Music On!

If you use a site that doesn't have a download manager of its own, you'll want to install a what is called a download manager. If you order an entire album, for example, a download manager will automatically grab the links for each track and download them one at a time (or simultaneously, if the site supports it).

A download manager made specifically for downloading music is being developed at SongBoom, and we'll be releasing it soon.  For more information, please see the short article written about it. 

Several good ones exist and are completely free. Please see the forums under "Software->Download Managers" for an updated list of good choices.