What news agent are you using?
Not all of them are as good as others…
I believe we had a thread about this a very long time ago (so it may very well be useless now, given the change of technology over time).
This could have something to do with the server not supporting resume downloads, or your news agent may not support it, or it may be your time out settings (in some programs you can change this to a larger value)
The more information you provide (news agent, OS, etc), the better people are able to help you…and quicker too