There is a problem with the file or the server you want to download the file from because if Windows is installed on a FAT32 partition, the file size is limited to a maximum of 4 GB of data. Anything higher than this value needs NTFS as file system for the partition. Try to use the built-in download manager of your favorite browser. It's possible that the website does not allow to use download managers.
On the other hand, you might want to leave it a few minutes because if you use segmented downloading, the application requires a few minutes to join all the files downloading.