I suggest you visit the ‘Links’ page on my signature and browse a little for ‘Download Managers’. You can use Google too: FlashGet, GetRight, Download Accelerator Plus, Flesh Download, etc. are some examples.
Using a program like this you can not even accelerate your download but resume interrupted downloads.
Closing Internet applications (browser, email client, etc.) could accelerate the download.
I suggest you save the setup.exe file to disk and not just ‘run’ it.