I download some stuff off the Internet sometimes that are...well, they're pretty big, as in they can take over a day to download over a small modem. Is there a program out there that you can download through and it will save it's position? Downloading bits at a time is better for me since I don't have a cable modem. :)

I use something called "Flashget"

I usually download linux distro's over the web with this.

I don't have the link handy, so you'll have to search in www.google.com