I have the following annoyances with downloads in IE9.
1 - nearly every download is not on a whitelist or blacklist so I get the "this is not commonly downloaded" warning and as such I then have to jump through hoops to run the file. There is no button to either add the domain to a local whitelist or submit "this file is safe" to microsoft.
I tried to untick check signatures on downloaded programs option, makes no difference so not even sure what that option does. What does help is disabling smart screen filter on the entire browser. Although I prefer to have it on to check websites I browse. In addition the smartscreen filter is down now and seems to be down a lot, if I manually check a website it says unavailable, however downloads do sucessfully check but take ages.
2 - the save/save as options, seems awkward to use, save been the forced default and the the prompt always appears at the bottom. What is bizarre is one site with download links brings up a prompt that feels more traditional, a window with save or save as to pick from but only one site does it. site that hosts a dodgy tool called tweakIE9 (dont use it is way too buggy).
http://www.itknowledge24.com/tweakie9.zip
3 - when is completed like your complaint I get the same bar at the bottom, it also still appears if disabling the prompt when downloaded. What I want is like IE8, a download box that is in the background that I see the progress on the taskbar for the download and it alerts me when completed, all this in the background.
IE9 has some severe useability downgrades sadly.