Eriatarka,

Just some thoughts...

Have you installed the most recent drivers for your ethernet card ? (Or you modem if using a dial-up)
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Because firewalls and antivirus programs can cause conflicts and issues with downloads, have you got the most recent updates available for those programs? Have you tried experimenting with other antivirus/firewall programs that are more appropriate for your machine?
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Have you shut down unnecessary background programs that run at start up which cause conflicts and rob memory/resources from the computer? Here are a couple of links that might help with that:

http://aumha.org/a/loads.htm

http://www.blackviper.com/WinXP/servicecfg.htm
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If you're using a download manager, have you tried NOT using it?

Hope this helps.

Grif