If you have to download a large database backup from LCS asset library this might be a real pain. It is slow and unstable if you just download it with your browser.
You should always use azcopy: Copy or move data to Azure Storage by using AzCopy v10 | Microsoft Learn
In LCS just click on the "Generate SAS link" this will copy the download link into the clipboard. Open a command prompt and run
azcopy "SASlink" t:\yourLocalFolder