Are you on dialup?
You're boiund to have problems these days unless you're on FIOS, Cable,
Satellite, or plugged into one of these thru corporate LAN... servers no
longer expect you to be as slow as dialup and may reset connection.
If you're actually on a fast connection, then you need to provide more
details to see what else could be causing resets.
Also make sure your TMP (Windows temporary directory) is in good shape, has
enough space, etc as this is where IE downloads first and then pumps back to
destination you specified when download started, TMP is used as a temporary
buffer, if it's in a bad shape it will take longer for IE to process large
files, I am talking about 2-16GB that I've downloaded recently for example.
I download Gigabyte range files without a problem NOW, in IE8.
But it used to that I had to use a Download Manager instead of IE6 or IE7
for files over 2GB as IE which is isuing HTTP protocol would be very
confused and think it's some 512 byte file, or something... it's too
technical to explain, but for a large file you had to use DM (there're many
download managers on the market), which is also bypassing HTTP and FASTER
than IE by a huge margin, like 2x or more.
But now in IE8 I had no problem even with a 16GB download of a CAD
engineering documentation pak for my work threu my own, private server I
opened thru GoDaddy.com
GoDaddy happens to be world's largest registrar now despite goofy &
unpleasant business name