When I have this happen I usually use rsync to continue the download. mirrors.kernel.org offers an rsync server, so I'll go to http://mirrors.kernel.org/ and navigate to the file I want to download. Then I copy the path to that file and replace the "http://" with "rsync://". For example, the Ubuntu 10.10 i386 desktop ISO is at:
So I can resume the download of it by running:
rsync -avPL rsync://mirrors.kernel.org/ubuntu-releases/10.10/ubuntu-10.10-desktop-i386.iso .
Note the "-L" argument, without that only the link to the file is copied because Ubuntu uses links to the files in different locations.
The above assumes that your file is the same name ("ubuntu-10.10-desktop-i386.iso") and is in the current directory. If that is not true, replace the trailing "." above with the actual file name and path to it.