If this problem is only occuring to you on:
*some*, not all downloads.
large'ish file sizes
ftp: and *never* http: downloads
then the problem is a mismatch between Window$ (tm) and the type of isp you are connected to.
Some linux servers have a problem here. I do not know THE answer.
I do know, that changing the download agent, your end, often fixes the problem.
For instance, if you use DAP acellerater (sp) change it's setting to no accelleration at all (for this dload).
If you aren't using accelerators, get one, simply for the purpose of changing the agent, not because they're good (tm)
Reget (another agent) often works.
And so too by simply changing the properties inside your explorer to set ftp to 'passive' mode.
You should also consider a quality agent like CuteFtp (no brickbats please from others). If you're seriously into downloading anything, lots of it, then CuteFtp (eg) is an overall winner reasons other than this one problem.
There is no clear cut answer i can give you except to acknowledge that some of us too, have the same problem.