you lost your connetion to it when you closed the window.
if i were you, i would have used wget to download the file.
in wget, when you close the window, wget logs the %complete process to a file called wget.log in the same directory you are downloading to.
also, you can killwget, and restart it with the -c (continue) parameter.
i know this doesnt help you now... but when it comes to downloading disk2,3,4 .... ou will know.
can you kill the ftp download process ? iand you can find the file part it has already downloaded you may be able to resume it with wget.