The "DL thing" in the bottom right corner signifies how many things there are left to download.

If your problem is that you're experiencing lag in upon starting the client, there's a multitude of things you can do to reduce lag.

For one, you can change the frame limit to 60, via options. You can also /opt fixedframerate 0 to bump up your FPS by a bit.

For the rest, a quick search on Google should remedy that.