You Cannot Download Files Larger Than 4GB Using Internet Explorer (IE)
In case you aren’t aware, Internet Explorer cannot (upto version 7, i.e IE7) cannot download objects larger than 4 GB in size. When you attempt to download a file from the Internet by using Hypertext Transfer Protocol (HTTP) in Microsoft Internet Explorer, you may find that the download does not complete. As a result, you cannot download the file. This behavior can occur if you try to download a file that is larger than 2 gigabytes (GB) in Internet Explorer 6 or is larger than 4 GB in Internet Explorer 7.
The core of the problem lies in HTTP Keep-Alive. If you aren’t aware, HTTP operates on the request and response paradigm. A HTTP client generates a request and sends it to a server which understands HTTP, the server then answers the request and sends back a HTTP response.In the original implementation of HTTP, each request created a new socket connection to the server, sent the request, then read from that connection to get the response.While this approach was dead simple to understand and implement,it definitely left a lot of TCP level overheads on both the client and the server, thereby making them slow. In order to solve this problem, Keep-alive connections ( or the persistent connections) were brought in. Keep-alive connections enforce re-using connections to the server.

Image: Internet Explorer cannot download objects larger than 4GB.
If you are a webmaster and offer objects ( files) for download which are larger than 2GB and upto 4GB, following hack (pseudo algorithm) can help your objects get downloaded on IE 6 ( IE 7 supports upto 4GB by default).
1.) Identify the User-Agent of the incoming HTTP request.
2.) If the requesting User-Agent matches the wildcard expression *MSIE*, disable Keep-Alive on your webserver.
If you are using IIS ( Internet Information Services) webserver, follow the steps below to disable keep-alive
1.) Open Internet Information Services Manager.
2.) Right-click the Web site that requires the change, and then click Properties.
3.) Clear the HTTP Keep-Alives Enabled check box that is located on the Web Site tab, and then click OK.
As per Microsoft, Windows Internet Explorer 7 can reliably download files up to 4 GB in size without the previously described change to the server. There is no workaround to enable Internet Explorer 7 to download files larger than 4 GB in size. Windows Internet Explorer 8 can reliably download files over 4 GB in size without the previously described change to the server.
If you are an end user having issues with downloading large files when using Internet Explorer, i strongly suggest that you use a download manager. I recommend Orbit Downloader which allows you to download large files as well as streaming media (audio and video, as well as flash SWF) from video sharing and other sites.
You might also be interested in Understanding TCP Connection Basics and HTTP Status Codes.
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Good info pal .. I didn’t know