Internet Explorer 9 has Download Manager for managing completed and running downloads. Notification Bar now appears on the bottom of Internet Explorer window, not on top.
Another new feature in Internet Explorer 9 is Pinned Sites. The main advantage of Pinned Sites is the ability of using different tasks via Taskbar icon, such as opening main links, displaying notifications, unread e-mail count, etc.
Using Internet Explorer 9 Download Manager
You can open Download Manager using keyboard shortcut Ctrl+J or by clicking Tools button (keyboard shortcut Alt+X) and clicking View downloads.
After you click a download link on a web page, a Notification Bar appears on the bottom of Internet Explorer window.
For executable files (having file extensions like .exe or .msi), you can click Run to launch the program automatically after download is complete. Note that this will save the file into Temporary Internet Files folder, not your default Downloads folder.
Click Save to put the downloaded file to your default download folder, typically a folder named Downloads in your user profile folder.
You can also choose not to download the file by clicking Cancel.
For non-executable files (such as documents, spreadsheets, etc), the Run button is replaced by Open button.
Other options are available by clicking the down arrowhead button on the right side of Save button. Let's see the options for programs (executable files) first.
Save as allows saving the file to a different location than the default Downloads folder.
Save and run saves the file to your Downloads folder and then launches the program.
For documents, the Save and run command is again replaced by Save and open.
You will see download progress and estimated time until the download is complete in the same Notification Bar after selecting an action to perform.
To see the new Download Manager, click the View downloads button or use keyboard shortcut Ctrl+J.
You can also stop the download temporarily by clicking Pause, or cancel the download. 
In Download Manager (or View and track your downloads window) you have a list of ongoing and completed downloads. Downloads are kept on the list even after you close Internet Explorer - this allows seeing complete download history.
You can do the same things here - pause or cancel a download still in progress, open downloaded documents and run downloaded files.
Note that Download Manager displays the source server/domain name for all downloads under file name.
In case you chose to save a file or a document, Notification Bar becomes active after the download is complete. Note the new button - Open folder - here. Clicking will open the folder where the downloaded file or document is.
Back in Download Manager, you now have option to run the downloaded program or open the downloaded document. For documents, you also have an option to open the file with a non-default program by clicking the down arrowhead on the right side of Open button and clicking Open with.
To search for a downloaded file or program, type a part of the name into Search downloads box. The search is case-insensitive ("M" and "m" make no difference) and typing "format" finds FileFormatConverters.exe, Formation.pdf and opendocumentformat.odf.
This makes searching by file types easy, just type "pdf" to find all Acrobat Reader documents, "exe" to find all programs, etc.
The link in Location column opens the folder where the downloaded program or document resides.
To remove an entry for a download from the View and track your downloads list, click the X mark in the right corner of the entry. This will not delete the downloaded file, just the entry in the list!
If you right-click a downloaded program, you will have several options.
Delete program will delete the downloaded program file and remove the entry from Download Manager list.
Copy download link will copy the link to Windows Clipboard. You can then paste the link to Internet Explorer Address Bar or some document using keyboard shortcut Ctrl+V or by selecting Paste command from Edit menu.
Go to download webpage will open the web page for the downloaded program in Internet Explorer.
Open containing folder will open the folder where the downloaded program is.
Report that this program is unsafe will open a Microsoft webpage for reporting phishing websites and unsafe downloads. Use this option only if your anti-virus or anti-malware program detects the download as virus or malware.
Rerun security checks on this program will check for viruses and malware using Internet Explorer's SmartScreen Filter. This will not launch your anti-virus or anti-malware program!
Right-click options for documents are the same, but the word "program" is replaced with "file", so changed entries become Delete File, Report that this file is unsafe and Rerun security checks on this file.
On the bottom of View Downloads window there is an additional link and two buttons.
Options link allows you to change Windows' default location for downloaded files and documents. Normally, all files and documents are saved to Downloads folder in your user profile folder. Click Browse... to select a different folder for downloads.
Clearing the Notify me when my downloads are complete check box will disable Notification Bar for completed downloads. This suits for those users who don't like Internet Explorer window activating each time a download is complete. You can still manage downloads using Download Manager after clearing the check box.
Clear list clears all download entries on the list (download history).
Close button hides the View Downloads window.
Using Pinned Sites in Internet Explorer 9
Pinned Sites allows using special features such as notifications, quick links, unread e-mail count, etc for sites that support pinning. Please be aware that you can pin any site, but not all sites offer additional features.
Pinned Sites appear on either on Taskbar or Start menu, All Programs folder. If you open a pinned site, it will have a separate icon on Windows Taskbar, no matter how many other Internet Explorer windows you have open.
Here is an example of how Windows Live Hotmail tasks look after right-clicking its Taskbar icon:
Pinning sites to Taskbar
To pin a site to Windows Taskbar, move mouse pointer onto site's icon in Address Bar. You will see a tip with text "Drag to taskbar to pin site".
Now click and hold mouse button (the left one) and drag the icon to Windows Taskbar. Then release the mouse button.
The site will then lauch automatically in a new Internet Explorer window. Note how Back and Forward buttons change colour according to site's main colors.
You can now find the site's button on Taskbar whether it is open or not.
If you right-click site icon on Windows Taskbar, you will see links to our major categories under Main Sections.
Pinning sites to Start menu
To pin a site to Start menu, click Tools button (or use keyboard shortcut Alt+X) and select Add site to Start menu from File menu.
Add site to Start Menu window appears. Click Add.
Internet Explorer 9 will relaunch after this and Back and Forward buttons will take colors from the site.
If you right-click site icon on Windows Taskbar, you will see links to our major categories under Main Sections.
To add a site to Taskbar permanently, click Pin this program to taskbar.
To open a pinned site next time, open Start menu, click All Programs and find the entry. Or use Start menu Search box for finding it easily.
Note that the special links and tasks will not be available unless you launch the site from Start menu or pin the icon to Taskbar.