If you are looking to download from sites like rapidshare, megaupload, etc... use Kget.
1. Install KGet
2. Install Konqueror.
3. Install the FlashGot Firefox extension.
4. Log into your rapidshare premium account or other account in Konqueror. (KGet shares cookies with Konqueror.)
5. Configure FlashGot to use KGet as download manager.
6. Right click on the list of rapidshare or other links in Firefox and got to 'FlashGot Selection'.