It can. But only if the other end suppports resume.
Just about every server does, these days, but I've only gotten file resume to work once or twice. What IE actually does is salvage the file from your cache folder and resume that.
First of all, IE almost never does that properly, so resuming files is notoriously unreliable. Second, you can't save a partially downloaded file like you can with a real download manager, so there's no way to MAKE it work reliably, or even work with a partial download (which can be better than nothing).
The real kicker is, the Mac version of IE comes with a download manager, while the PC doesn't. Explain that, Microsoft.