How to continue downloads in ubuntu in firefox?

How to continue downloads in ubuntu in firefox?

I'm currently using Ubuntu 9.10, because I get higher download rates when I use this OS. But the download rate is not consistent. How can I save the current download, because when I do it in XP, a pop-up would show if I want to save and quit. But in Ubuntu there is no such pop-up, is there any manual way on how to save the download and continue it on next startup?