Rob Henerey writes that if you are downloading a file with Explorer 3.0a and click to link or move to another page, you will get a message that says that doing so will abort your download. The main way to continue your browsing while a download is in progress is to open up a new browser window (using the "Clone Window" command, accessible by holding down the mouse button for a few seconds). Navigator does not have this restriction.
Actually, when I tried this, I did not even get an error message. It simply took me to the page I requested and aborted my download without telling me it would do this. Apparently, this has also been an issue with previous versions of Explorer.
Update: David Weingart points out that for ftp downloads you should be able to circumvent this Explorer problem by using Internet Config to make Fetch or Anarchie your ftp helper.