Just to add to that, I presume these are Mpeg1 type movies you're dwnlding. I've had the experience of having one which had chapters that QT had major problems clicking into (only on rare occasions did it succeed. Likewise it was a large file.) (I think it may've had something to do with the Windows software that encoded it!) May I suggest you also get a hold of alternative movie players just in case. I'd suggest VLC: http://www.videolan.org/
(which can also play divx, mpeg2, vcd's & dvd's), &/ MPlayer: http://www.mplayerhq.hu/homepage/design7/news.html
Both are free. (In order for QT to play mpeg2 you need to buy the codec!)
Hope this helps.