There are a number of reasons why downloads can time-out. The most common is the file size. The next most common is idle time. In order for files to accomplish a task prior to download, let's say zipping a file before download there can be idle time. If your router is set to reset after a specified idle period you may see your connection time out. Check your documentation for your router or contact your ISP and they may be able to help you change the time out setting.
If it is relating to your browser and not your router try this article for IE settings.
http://www.ehow.com/how_5915953_change-download-timeouts-internet-explorer.html