Real-time downloads to decrease delay time

When I click on a link, it would be great if the download starts in a temp folder even if I'm still looking the details... in this way, when I click on the "OK" button to start the download, in reality the download is already started and I've download several MB...
On the other hand, if I click on "Cancel", the download will be discarded...
I saw this feature in other downloaders and saves me a lot of time!