I'm having the same problem with stuck windows in Mac OS X 10.6.3, and I have no third party window managers installed.
The problem is that JDownloader windows are permitted to be dragged and released underneath the Mac OS X menu bar, which prevents the JDownloader window from being repositioned ever again, since only the top title bar of a JDownloader window is draggable.
There is also no way to reset the Window with any available options, the only fix is to Force Quit JDownloader, which prevents the current window position from being stored and will reopen in it's original (draggable) position, but force quitting is not ideal.
This may be a limitation of Java-based windows, but I am hoping for a Setting to be added to JDownloader that can restore a window's position to x:100, y:100 or a way to prevent the window from ever being dragged underneath the menu bar.