I am trying to download a large file game from the internet, from a site I have been with for years, and I trust. Whenever it is close to finishing, a message says there was a problem downloading, and it was by an "Unknown publisher" is there a way to go around this message and continue downloading the game?

The publisher probably has the rights reserved to this particular game; that is why that message comes up. No, don't think you will be able to get around it.

If your drive has been formatted to Fat32 instead of NTFS, there is a 4gig limit to the size of any file. You can download larger files if they have been split up with winrar, but when you try to extract more than 4gig fat32 will choke. If you open your "My Computer" and right click "properties" of your drive it will tell you if its Fat32. You can also convert a Fat32 partiton to NTFS from the run box with the CMD entry its pretty simple but things can go wrong and they suggest backing everything up. Just Google your OS with the conversion request like (convert fat32 drive to ntfs in windows xp).