Does it always fail at the same type of file? For example, The tileset, or the music?
I myself had a few struggles with jj2+ not wanting to download music files sometimes, so I disabled music downloading in plus.ini.
I can look at plus' ASM (or in the source, if that group that received it from Blur would give it to me, or respond...) if you can tell me what exactly it fails at.
Does it get stuck after a certain percent? or does it give the "Error downloading" disconnect message? What kind of file does it fail at? Does this happen on all servers, and everytime? Do these servers have both the same game version, AND the same plus version?
Oh, I just can't wait 'till someone hands me the JJ2+ source, 'cause I've been having this kind of issue so often in the past...