The MSDN and MS VLM download sites both use a fairly lame (as in rarely works properly to download a full file in my experience) download manager, that downloads the files via Akamai.
If you connect to either site with IE6 or 7 (haven't tried with 8) and try downloading large files (the threshold seems to be somewhere around 1GB) it will say that your web browser can't direct download the file and your only option is their download manager.
However, if you connect with Firefox (only tried with v3+) it will generally give you the option to direct download from the webpage and downloads the whole thing in one go as a normal web browser download, which in my experience, is far more reliable.