If you are searching for a nice system wide software to display notifications like Growl for Mac you will find in the world of Windows Snarl (www.fullphat.net).
FireSnarl displays notifications using Snarl (has to be installed of course) for the states of your downloads (started, paused, finished and cancelled).
With FireSnarl 0.4 this extension is now compatible with Firefox 3.0 ("secure update" included). Just install it in Firefox, change some settings if needed and have fun.
Also available in this project is a Snarl-extension for Thunderbird called Thundersnarl for notifications about new mails and upcoming an extension for Pidgin to be notified about chat messages and buddys signing on and of (currently Alpha1 - non public release)