Roo, it sounds like you keep losing connection. Do they disappear altogether, or does it say something in red? Check your preferences to make sure the "clear when complete" and "clear when disconnected" or something like that isn't selected.
CrazyBabe, if you're trying to download the program WinMX, try
http://www.winmx.com . If you're trying to download L&C stuff on WinMX, all I can tell you is to just keep an eye out on what you're downloading. Most of the time, I get when I'm looking for when I download it, but occasionally people like to rename things to what they aren't.