when I download the setup wizard and I want to stop the download it doesnt create a shortcut of the progess I left of when I want to finish downloading at a later time
That's right, it doesn't.
If you want to use the standard downloader then you need to do the whole lot at once.
If you want to do the download in parts then you will need to use Vaf's alternate download
and use a download manager
I use FlashGet