GoodReader is another decent option for this. And yes, it also has Open In support. As well as other file management tools, like zip/unzip support.
You can either enter the download URL directly, or use the built in browser to navigate to the site and download.
I also have iCab Mobile, and like it for some things. I think the file management tools in GoodReader would work better for this.
Then again, if you don't mind spending the money, both are apps well worth having.