linux does this sort of thing the old fashioned way, using ftp.
if you're running X and have gnome there should be a program already installed called gFTP which is really good. you can just click on the file you need and tell it to get it again and it will ask if you want to start it from the begining or carry on. there are console ones as well.
however this does require ftp servers to work. if you want a download manager that does what you want from a normal web page (like go!zilla in windows ) then there is snarf (such a cool name). you can get it from
http://www.xarch.com/snarf
Alex