Not now no. Yeah that can happen with 2 windows of LW open. I've done it myself. But it's not healthy to keep 2 windows open so really you did the right thing. (Perhaps you should choose which one to close if it happens again. lol )
The other option you might think of is to backup the downld preferences once a week or so. Go to incomplete folder & make copies of download.dat & .bak files & move the copies somewhere else. These are your downld prefs. It won't make any difference now but might in the future.
I was a dial up user whilst using LW for 3 yrs so I know how difficult it is.