When I select File / Exit, it's closing my downloads also. That's very annoying. I believe that most users that are selecting exit, doesn't want to cancel their downloads. I'm using K-Meleon 0.5. It would be very good to see that this feature is fixed in next release.
I have not tried any download from K-meleon,so I cannot tell if it has a download manager,just as in Netscape6 or Mozilla.I would expect that it has,and I do not know if it can be by-passed.You should be able to continue the download as long as you are online,I think.
"Exit" means close down the entire browser. That means k-meleon is completely unloaded from memory. If you just want to close the browser windows, click "Close" instead of "Exit"