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.