As another "Add on" to my nohup post, I found out about an other way of getting your downloads done even if your connection to the server (your linux server from which you download stuff) closes while you were tunneled through with SSH (what nohup does).
I have heard about "screen" which is a GNU application for the linux console. Some people recommended that to me rather than nohup but I thought that screen was to much of a hastle to have and not native to the Linux distribution (as in, you won't find it with any kind of Linux distro on a CD or DVD).
I recently found out that SuSE had it all along and so I've put it to the test.
Firstly you have to make sure that the computer you want to connect to has screen. Also it must have SSH for it to work like you want it to. So you tunnel through with SSH and just type screen. Thats it! Now you see just your ordinary console screen. You might think "Did it work?" Yes! It did. Now you can open more console screens, navigate through them, close them, etc. just as you are used to with Konsole (KDE Console/Terminal).
Here is a good tutorial on it which contains some screenshots and shortcut commands that allows you to access all that functionality.
I think that you guys might agree that screen is better that nohup, at least in most areas. But like every tool, it has a purpose so before you scrap nohup from your mind (think about it, it is built into linux, screen isn't ;) ), hold on to it, you might find it handy some day!