first off it is worth stating to everyone else:
i believe that you are using a usb dongle and connecting using three (uk cell phone operater) and connecting via 3g
web pages load fast because they do not always need a reliable connection, for example once the page has loaded (in most cases) it will require little if not none of your bandwith to view
when downloading files you will need a reliable connection to give a constant speed
the uk 3g network is alreadly pushed and factors that could cause this problem are varied with 3 g you always have to take into account the distance from the tower and even if your close your speed will still be defined by how many users are using the connection (this is called contentaion raito on standard broadband and the term seems to be relevent here.)
it is also worth saying when downloading large files the isp (three) can identify this and intentionally slow you down, this would be done if the isp has a large amount of traffic, eg. at peak times, this will probably also be done if you download alot of large files.
you are aware that most 3g internet operaters have a download cap per month and most of them have extorinate cost per extra gb, there was one guy using his phone for downloads on an unlimited internet package through vodaphone and got a bill for 27,000 pounds, this is unlikely to happen to you to this extent but it is something worth checking
only other thing that is worth checking is:
have you got enough space on your hard drive?