Certain applications have the option of keeping the window always on top which is helpful in many situations like watching movies when working on something in the background.
This feature is available to many applications but not all, but if you wish that your download window should remain always on top, you can easily make that with the use of a tool called OnTopReplica. What this tool does is, it clone whatever window is on your screen and watch it in a small thumbnail that always keeps on top of all other windows.
This is helpful in situations when you want to watch movie while working on something in the background, keeping an eye on the download progress or viewing the progress of a slow installing file when working in background.
The tool is quite customizable and can be customized to keep different aspects and properties of the window on top. The tool is supported on Vista but not XP.