Almost every other download manager supports proxy servers (as a side note, Wikipedia has a very nice article on types of proxy servers). Many of the download managers support basic authentication with proxy servers, and some support SOCKS as well. However, things are not so nice if you are behind an ISA Server, which uses NTLM (NT LAN Manager, MS proprietary authentication protocol).
I have recently started using more and more open source tools; two download managers for Windows that caught my attention are TrueDownloader and wxDownload Fast. Interestingly none of them supports NTLM. In fact, most of the Internet tools do not support NTLM at all, specially tools for Linux.
As another side note, two commercial download managers that I found with good NTLM support are Net Transport and Internet Download Manager. Both have trial versions available. I specially liked the features of Net Transport.
When it comes to Linux utilities, such as yum, apt, etc., we get really stucked up due to lack of NTLM support.
Fortunately for us, there is a common solution to all platforms that support Python: NTLM Authorisation Proxy Server. You can download it from here. What it does is pretty interesting. You run it on your local machine and it will start listening on a port. Use your regular application to connect to local NTLM APS, which in turn will connect to your regular NTLM based proxy server.
There was a similar approach discussed in detail in an article posted on Kuro5hin. And while we are at the topic of proxies and anti-proxies, SkoolProxy is a very nice web-proxy that re-writes URL's so that URL filtering done by ISA Server can be easily fooled. In other words, you can download mp3, exe, etc. even if they are blocked by your gateway.