I finally found a tool to download big files from my employer’s intranet through the VPN. The VPN connection gets killed after some time, so it must be restartable. Today I found Robocopy included in the Windows Server 2003 Resource Kit Tools.
Then I used 7-Zip to scoop out robocopy.exe from the self-extracting .exe and the contained .msi. So no need to install anything.
Thank you Microsoft and thank you 7-Zip!