Which version are using Michael? Versions prior to 3.X did not attempt to download the file in sequential order, but from 3.X on, every attempt was made to ensure that the file was downloaded in order. While this has no effect on the end result (you'll always have the full file), downloading in order can help with things like previewing and verifying. Of course, even with 3.X, the download can still be out of order (if a slow source is giving you the beginning of the file and a faster source is giving you the end of the file).

There is a patch that was sent into the development mailing list that displays a 'chunked' progress bar, so that people can clearly see which portions of the file are downloaded. The patch has taken the backburner for a little while, because there were some more pressing network changes that needed to be made, but I think after 3.2 comes out we'll look at integrating it.