SOLVED !!! Ok eventually all I did to solve the problem was to right click on the system tray icon, remove the "Browser Monitoring" option, restart FDM and then went back and enabled the "Browser Monitoring" through the tray icon. VOILA! FDM now captures all downloads automatically.

Oops, previous post had to mention that I'm trying to download files using Avant Browser (www.avantbrowser.com). FDM downloads files successfully when using IE 5 or 6.

Cheers