The adobe Download Manager is not proxy aware.
Adobe suggests you manually install the Flash Player (If that is what you are trying to download):
Try adding *adobe.com to your HTTP ICAP bypass list, and *adobe.com to your SSL Scanner bypass list. That should work. If the Adobe's DLM pulls the files from a third party then you'll need to find that domain and add it as well. Or go with what Erik says and manually download it.
Anybody been able to get Adobe Download Manager to work with an Auth proxy in the latest release?