2 options...
1- If your downloads are not completing on the PC, use a PC download manager that can resume downloads (find a free one at webattack.com)
2- If your Mac is connected to the PC via ethernet, connect the PC to the internet and run a proxy server on the PC. A small little proxy can be found at analogx.com. On the Mac, set the proxy options to the IP address of your PC and you can now download files to the Mac.