Hi,
For your question, I'll assume you are using the EVDO USB modem.
Open the software provided with the modem. The one which has a red coloured icon in the notification area - if you are connected.
Double click on that icon. Or you can always open it from Start>All Programmes.
Go to Settings>Options>Standby/Hibernate.
Click the radio button "Prevent Standby/Hibernate". By default, standby/hibernate is enabled.
I guess it solves your problem. If not, contact customer care.
If your downloads break in between, I'd suggest you use a download manager. Also, don't use Internet Explorer. Its very slow & the least secure Internet Browser.
I'd recommend you use Google Chrome, its the fastest (can only be installed live, connected), or Mozilla Firefox, or Opera.
Use Internet Explorer only for those websites which are not compatible & won't open properly with the above mentioned browsers.