This is a discussion on Download Error? within the General PS3 Discussion forum, part of the Everything PlayStation; Ok, I was downloading Resident Evil 5 Gold Edition thanks to PS+, only to find out that there's a 'download ...
Sometimes (rarely) it will pickup where it left off, but in most cases you have to redownload. You may what to redownload the whole thing away as there may be corrupted or errors in what you already downloaded because of the error and you don't want to have to remove it all and redownload once you've gotten the whole things done once.
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It would be best to download w/ an ethernet cable, as that offers the best connection stability. You can receive DNS errors or similar if you connect via wireless and your signal is weak, thus stopping the download.