Bah..
Use wget, it's clearly the best for those things, since it's less likely to crash. Don't think it's avail for windows through.
For big downloads I just ssh to my server, put it downloading and disconnect, it has some 30 days uptime atm (had to update kernel), so it's quite unlikely to crash /infopop/emoticons/icon_wink.gif
But then, I have ADSL, Inf 2.8 isn't a big download for me /infopop/emoticons/icon_smile.gif
I think there is one cURL for windows, it's text based and kinda like wget. It's free, doesn't nag you about anything and supports a wide range of protocols.
Get it here.