What happens if you do not reset the router, and reattempt to D/L the file after the specified period of time?
The blue circle on the network icon indicates the system is searching for a network connection.
If it appears at startup, then start the modem and router before starting the computer. If that does not help, then one or more programs or services running at startup may be causing it. Repeatedly press the F8 key during startup, select "Start in Safe Mode With Networking", and press Enter. If the problem does not occur, then restart normally, open Windows Help, type in selective startup, and follow the instructions.
If it happens after the computer is running, then the router is dropping the connection. This can be caused by a device(cordless phone, microwave oven, etc.) that has the same frequency as the router, excessive distance between the computer and router, multiple obstacles between the computer and router, a bad router, etc.