Saving multiple files

Good morning,

When saving and naming multiple files I have always had this problem: I'm
typing the name for the new file in the save dialog box, when the previous
file is finished downloading. If I'm typing I may get a dialog box asking if
I want to cancel the download or my typing is erased and I need to start all
over. Annoying. Is there any way to avoid this by having the file save in
the background and not userp my typing? Is there a setting or a registry
tweak?

Thanks, Robert