Firefox's download window can sometimes be awkward, especially for people who like to do all their browsing in only one window. And, considering the default behavior of the Windows taskbar, to group all your windows under one icon and Mac OS X's dock which makes using multi-windowed applications kind of painful, restraining yourself to a window per application seems like the obvious thing to do in this day and age.
There are some add-ons that put your downloads in a tab (Opera style) like Downloads in Tab and I strongly believe that eventually Mozilla will make this a core Firefox feature.
Until then, a great alternative is a little add-on called Download Statusbar. It completely replaces the functionality of the Download Manager by providing a bar at the bottom of the window with the progress of the current downloads and a few useful options.
There is an extensive list of options which allows you to fine-tune the add-on's behavior and customize its appearance.
You can check it out on Mozilla's addon site.