I have an object with a method named StartDownload(), that starts three threads.
How do I get a notification when each thread has finished executing?
I would suggest looking at the javadoc for Thread class.
You have multiple mechanisms for thread manipulation.
Your main thread could join() the three threads serially, and would then not proceed until all three are done.
Poll the thread state of the spawned threads at intervals.
Put all of the spawned threads into a separate ThreadGroup and poll the activeCount() on the ThreadGroup and wait for it to get to 0.
Setup a custom callback or listener type of interface for inter-thread communication.
I'm sure there are plenty of other ways I'm still missing.