We need a bit of info - what release were you downloading?

If you are downloading multiple releases, select only one main release at a time (XP, then Vista, 7 etc, in any order just not all at once), see if it finishes without error. If you get an error, post the log. It is a good idea to always run APUP with logging - either double-click the 'hit_this...cmd' file or create a shortcut to apup.exe adding /log ->
apup.exe /log
Btw, if you are continually having problems with failed files you may have an internet connection issue. If you are downloading multiple releases it wouldn't be uncommon to have one or another release have a failed file. There's getting close to 700+ updates in the average package with one OS, add Extras etc. You may hit over 1000 if you add 2 or more OSes - one or 2 failed files now and again is pretty good if you ask me.
Can you run the 'hit_this...cmd' file to run APUP with logging and post the log file in the appropriate forum. For now, here (this thread) is fine but in the future if you can determine what release is giving you problems, create a log file of that release only, and post the log file in the forum - XP issues in the XP forums, Vista in the Vista forums, for now Windows 7 in General Support.
Read this about log files -
Log Files - More Info
We use
Spoiler code instead of codebox - [ spoiler] log file here [/spoiler ] - bring the brackets together to create...