There is not yet working glue to use DownloadHelper in Conkeror, but it doesn't look too hard to write. In the meantime, this wiki page can be a place for those interested in using this extension to share their notes.
To install DownloadHelper, you need only make a simple modification to its install.rdf file as described on Extensions.
Needs window.content, which Conkeror doesn't currently provide, but could.
It may be possible to get it running with minimal glue just by adding the following to its chrome.manifest, however, a lot of warnings and a few errors get spewed to the console at startup, so this is not the whole story.
overlay chrome://conkeror-gui/content/conkeror.xul chrome://dwhelper/content/dwhelper.xul