If you are using Peerguardian or other security software, check that it's not blocking the download. There are download helper programs around. Not sure of any free ones though. They work as plug-ins to browsers, and when you download, they open & handle it. Might be worth looking into.

I have no idea otherwise you would be having that problem. Unless your connection is inconsistent (wireless for example.) It might also be related to your network settings, ie: DNS number, or lack of one.