Just some thoughts...
Have you installed the most recent drivers for your ethernet card ? (Or you modem if using a dial-up)
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?
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:
If you're using a download manager, have you tried NOT using it?
Hope this helps.
My pc always crashes when I'm downloading or when my download speed gets too high. This happens when I'm downloading off a server and when I use p2p programs. I'm running WinXP home edition with SP1 with 512 mb of ram.