Solution:
BitTorrent!
People (including Microsoft's own server) that have a complete copy of the file are called seeders.
People with an incomplete copy (including yourself if you've just started downloading it) are called leechers.
When you download via BitTorrent, you download from a torrent server. This could, for example, be operated by Microsoft. It's a computer that watches everyone downloading and sorts things out -- like a teacher in front of a class organising the kids.
So, instead of downloading this big file from Microsoft, everyone downloads a small torrent file from Microsoft. This will be 10kB, instead of something like 10MB -- a thousand times smaller. Because it's so much smaller, Microsoft pay less for their hosting bill, and you get that file downloaded faster from them.
Now, this torrent file gives the details of the file you're actually trying to download (the 10MB one I was talking about originally), as well as which server is running the show (the Microsoft one). So you open this torrent file in your favourite BitTorrent client -- muTorrent, Azureus, Transmission, etc. This client now knows that you want to download a 10MB file from the Microsoft servers.
But, and here's the clever part -- Microsoft's torrent server knows who else has copies (partial or complete) of the file. The Microsoft server will tell your client software to download from itself, as well as some others that have parts of the file. So you might download the first tenth of the file from Microsoft, the last bit from some guy in Germany, some other part from your neighbour next door, etc.
Because you're downloading from several people, on different pipes, you can download faster than from just one server, and that one server can spread their costs over many people. It works both ways.