I have downloaded larger file than 2,5 GB, so it's not some global limit. Without further details it can be either a connection issue or a server-side issue. Anyway for such large files I'd recommend using a download manager application – unfortunately I can't recommend a GUI one, as I usually use wget or curl for these tasks.

Go to the Mozilla Add-ons Web Page {web Link}
(There’s a lot of good stuff here) and search for a download manager.

This download manager works separately from the browser. The browser tells it what to download, and off it goes.

http://www.freedownloadmanager.org It is a powerful modern download accelerator and organizer for Windows and Mac.