Doesn't work for everybody; complete the following steps to see if your account is enabled for it...
1. Log into your NetFlix account
2. Click the "Help" link at the top right
3. Click the 1st link ("Where do I find movies I can watch instantly on my computer")
4. If it says it's available to you then follow the last link and presto, you have free downloads.
Basically, for each $1 of your subscription fee you get to download 1 hour's worth of movies. So if you're on the 3 at a time 17.99 plan, you get 18/hours a month. Best of all it's free and your time is only used if you watch it. So if you only watch the first 15 minutes of movie, you're only using 15 minutes of your allotted time.