To retrieve a Download Manager window that has vanished from Internet Explorer, try the following...
1) Quit Internet Explorer if it is running
2) Delete Mac HD:System Folder:Preferences:Explorer:Downloads.html
NOTE: in OS X, the file is found in ~/Library/Preferences/Explorer/Downloads.html
3) Relaunch Internet Explorer and check the Download Manager again
If that doesn't work...
4) Edit the regenerated version of the above file in a text editor such as BBEdit Lite
5) Set the <H1>...</H1> section near the top to something like the following...
<H1 NAME_WIDTH="200" STATUS_WIDTH="100" TIME_WIDTH="100" WINDOW_OPEN="TRUE" WINDOW_POSITION="200,500" Status="-2" WINDOW_SIZE="700,250">Download Manager</H1>
6) Close the file down and save the changes, then relaunch Internet Explorer and try again.
When you've finished, the Downloads.html file should look something like this...
