if you want the whole thing then you're going to have to get the whole thing!
you can buy full distributions, (not just live CD's). but then you will have to pay, I suggest that you start to download again but use a download manager where you can pause/stop the downloads.
there is a good one there, (and the free version will let you download from 4 sources at once so that should hurry things along a little).
after you've got the images then it's just a case of burning them and booting from the CD to install the OS.