That would be a feature from the host site. But as you ask that it not be web based app or service then the answer moves from yes with limitations to a simple no.
No.
Bob
is there any way to download a file from a big archive file without download the whole archive?!+without any web based app or web service,I want the connection be just between my computer(for example with a software...) and the website that hosted the archive file...

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic