Hello!

I recently encountered the same problem when writing a web crawler. After some research, I found that using the command line to call Internet Download Manager is a good way.

Hope this late reply is still helpful to you.

SetDirectory[dir];
Table[RunProcess[{"idman", "/d", "\"" <> url[[i]] <> "\"", "/p", 
   "\"" <> StringReplace[Directory[], "\\" -> "\\\\"] <> "\\\\\"", 
   "/f", "\"Your file name - " <> IntegerString[i, 10, 2] <> ".pdf" <>
     "\"", "/n"}];
 Pause[10], {i, 1, Length[url]}]

Tutorials about IDM's command line. Don't forget to add IDM's installation path to the environment variable PATH.