Try closing any other programmes running at the time, especially any other downloads as these may interfere with the download. You can also try Vafx's unofficial download for shaiya, as this works just as well, and may help with any problems you're experiencing.
Vafx's unofficial download has unfortunately been removed now.
However, there is an official alternate download
which apparently does the same thing.
We don't yet know whether this will be kept up to date as Vafx's one was - time will tell