SDM is an extension that adds a powerful, highly-configurable download manager to the iPhone's built-in web browser. It is intended as a replacement for other plugins that insert download prompts into web displays, and offers finer-grained control over what is download and what is not, as well as control over running and completed downloads.
Multiple downloads can be running at one time, without interrupting your browsing experience.
You must be on the 3.0 iPhone firmware to use this extension. It can be purchased for $2.00 from the Cydia Store.