(Note: The last time I was dealing with this topic was a couple years ago, so the latest browser versions may now work differently than I've described)
Another reason companies (particularly Microsoft) are doing this is because some downloaded files now exceed 2 gigs. For reference, 2 GB (2147483648 bytes) is the upper limit of a signed 32-bit integer. Most browsers, even the latest Firefox and IE, use a signed 32-bit integer to represent the size of a downloaded file. When the file size exceeds that number, all sorts of weird things start happening depending on which browser you use. Firefox, for example, seems to be able to finish downloading ok...but the progress window kind of goes crazy with the numbers it's displaying. Internet Explorer finishes immediately and you end up with an empty file. I don't recall what Opera or Safari do. In any case, the download managers are a way to ensure that the end users' computers can handle the large download sizes.