Downloading movies takes forever

I am new to downloading movies. I am trying it for the first time and have noticed that after 2 hours I am only at 14% complete with one movie and 11% with another. Does it always take this long to download a full length movie? How can I speed it up? Does it make a difference whether I am trying to download 2 movies at a time or should I only do 1 at a time? I am on LW Basic. Also, when my computer goes into sleep mode does that slow down or stop the download or will it keep going? I don't want to sit at my computer for 10 hours or more. Once I have the movie downloaded will I be able to save it to a dvd using Roxio 6 CD and DVD Creator or will I need a different program. I already have a +/- DVD writer driver built into my computer. Any help to keeping this process fast and simple is appreciated.