Download problem in Windows 7

I had never tried Vista but this time I was curious to try the much talked Windows 7. So formatted my hard drive and installed Windows XP and Windows 7 in dual boot. I first went to Windows 7 and configured all settings and installed programs and all. I was very good working and I decided to stick with it. But the problem it gives is in downloading from internet. Whenever I try to download anything through any client or even direct firefox download, the download starts properly but after some time the connection to the internet is lost and download becomes corrupt.

I have not yet tried this on the another XP that I am having so I am not sure if the problem is with the Windows 7 or with the router and its configuration in Windows 7. But I am facing such problem first time.

It does seem to be a problem with the router... or maybe its configuration in Windows 7. If internet is working fine then there should not be any problem with downloading anything. So there cannot be problem with Windows 7. Just check with Windows XP also if you can download uninterruptedly or not.

Yes, it indeed may be the router problem. Coz now I checked with Windows XP and the same problem occurred there also. I reseted all the settings and configuration and still the problem persists. What can I do now?

What router is it? Can you check the router on another computer and check the download there? Maybe the router is blocking the connection to the internet! Ask your ISP in this case.

The router is ZyXEL P660HW-D1.
As you said, I tested this router in my cousin's laptop and you seem to be right that the router is blocking the connection, but just my IP, because the browsing and download works perfectly on that laptop.