User rsd102 looks already find the solution to his question when he posted the question to CSDN, except for one missing piece. The sample he found is for overriding the global download manager, and what he need is a process wide override.
It looks like rsd102 is loving research. He found more than he can understand initially. After being suggested twice with the vague IE SDK documentation he decided to post the sample code he was working on. And when the final answer was given he had problem adopting it. The answer was for adding INewWindowManager, not IDownloadManager, to the webbrowser site, and it has undisclosed error that prevented his adoption. In VC6 things are easier-there is not much browser host support-so the user settled with a VC6 solution.
it is pleasant to see a user doing active research before positing a question, however we may not see the question online if the user take some time reading the documentation he found during research.