Internet Explorer has a file download limit of 4GB (2 GB on IE6). Firefox does not have this problem (haven\'t tested safari yet) (More info here: http://support.microsoft.com/
I say click-once installed download manager, similar to msdn.
But becoming a CDN without a more optimized protocol for the job is no easy task. I can't imagine a business model that can be worthwhile enough to have such large file downloads as a core competency unless you are doing something like msdn. If you create a thick client, you at least get the chance to get some more face time with the users, for advertising or some other revenue model, since you will probably be paying in the hundreds of thousands of dollars to host such a service.