It sounds like the file you were downloading may have been too big, where you may have been trying to store a file in excess of 4Gig on a FAT32 file system or something. That's probably not the case if you're using a modern version of Windows. But it's still something to think about since a lot of attached storage devices and even other partitions still use FAT32.
Or it could be that you are out of hard drive space!!! So is it possible that the free space where you downloaded this file doesn't have at least twice the free space of the file? I can't say, but that would be the first place I'd be looking. Otherwise, I'd be looking at power settings and seeing if maybe your computer didn't just decide to go to sleep or into hibernation mode before it was done downloading - or maybe even shut down!
I doubt the file permissions are the problem since you should still be able to download if the server is able to send. Then again, are you sure an antivirus program isn't causing a problem?! Remember, most AV clients will do a quick scan to see if there isn't a known bad signature or something. So this could be what's happening. Your AV client may have mistaken that file as having a virus and may have even quarantined it. (Then again, it may actually have a virus too!)
Those things aside, you may want to be looking at your download client. I can't help much there since I don't use external FTP clients or allow torrents (which are two other huge things you may want to (re)consider). But once you start downloading with a particular client then you're pretty much at it's mercy until it's all done. So don't restart your download. Try resuming if that happens again.
Of course, there's always the possibility that the server is simply going down for maintenance or something when you're in the middle of this download. So if that's the case then there's really nothing wrong on your end. You may want to ask the site operator(s) or maybe try getting this file from a different mirror (if that's an option).
Hope it helps.