With retail game downloads, usually aborted or corrupted downloads are due to a hardware problem with an intermediate router. Your ISP sends your data through a series of routers between you and the site hosting the files you're downloading. If any one of these routers is malfunctioning, dropping packets or producing malformed packets, your downloads can be cut off or corrupted.
Occasionally the problem is with the server hosting the file. But in my experience with game downloads, using a different ISP to download files is successful, which means the problem is not with the server. For example, the files download successfully using Earthlink cable but are broken off or corrupted using AT&T. If it were the server that was at fault, the files would be corrupt using both ISP's and not just one. Not that Earthlink is inherently better than AT&T, but on this particular day for the connection between you and the download site, AT&T is using a routing pattern that passes through a defective router, while Earthlink's routing pattern doesn't include that router.
When the problem is with the file hosting server, it happens to everyone and is quickly fixed (at least with retail game downloads). If the problem is with an intermediate router, it can take a week or more to fix.
So the problem is unrelated to either Windows downloader or the GOG downloader.