Unless Microsoft doesn't allow range requests, any half-decent client will happily resume an interrupted download. This includes browsers and command-line utilities like curl and wget.
Edit: Just tried one of the files with curl. They resume just fine, and the download URLs aren't even tied to a session or IP. I copied the URL from my local browser and used curl on a remote server. No problem. :)
Odd, I could've sworn I used curl when I had this issue a while back. Maybe they changed something or I did something terribly wrong. Thanks for testing though.
Browsers certainly do resume downloads. Many sites don't honor range requests, though, typically due to passing the file data through some script. And some expire URLs.
Edit: Just tried one of the files with curl. They resume just fine, and the download URLs aren't even tied to a session or IP. I copied the URL from my local browser and used curl on a remote server. No problem. :)