When it gets a link to start downloading, Internet Explorer prompts you on where to put it and waits. If you're downloading something from, say, Fileplanet (as a purely hypothetical example), you run a serious risk of losing your place in line if you don't see it before it times out.
Firefox, once it gets the link to start download, starts downloading, and only puts the data somewhere when you tell it where.
Bad things about Firefox:
It's not smart enough to estimate download speed from when it actually started downloading, as opposed to when you hit "save".
On the other hand I've never seen a 73000k/s download before.