No, IE forces two at a time and forced me to wait until the other one had finished before I could specify where to save the file. I think IE does download the qued files while you find the place to put it. But it puts its stuff in the temp dir until it's all in and then copies it across; infuriating if you have a big file as you have to wait for it to download and then copy.
I use opera's tranfer manager.