i suspect what you are seeing is it attempting to connect, and when it cant you see the failed msg. Look for any error msgs, and read the posts in this thread for some things to look at. Likely the prob is on the senders end.
Unless you mean you actually download part of the file and the send disconnects/fails midway? Could be any number of reasons for this, talk to the sender first and see if they are having probs like this with others