I have one and its great.
First, you are not downloading movies but streaming them from the netflix website. Their entire library is not available for "Instant Viewing", however they just signed an agreement with Starz and their choices are very good.
You have an Instant queue as well as the normal DVD queue and the roku player will only see those items in your instant queue. You must still manipulate that queue via and internet browser, the roku player does not have that option.
There were enough choices on the instant viewing that we were able to downshift slightly on our overall netflix plan. I'd recommend getting it.