Or you could right-click the links and choose Save As, so you'd have them saved to your computer. And use a program that can resume downloads in progress, like GetRight.
If you want to complain on how slow it is to download, remember that I'm on 56k, so I've learned that, whether with a program to resume downloads or not (though it would be suicide to try to download one of those 7MB+ files without one), patience is a virtue.