Stop MacBook Pro from disconnecting network while downloading larger files

What OS is it? 10.9 shouldn't have this problem if you update. Just make sure the network access is checked in energy saver.

Alternatively: 'Note: Portable computers have no network connectivity when in sleep mode, but can wake if the Energy Saver option "Wake for network access" is enabled. If you wish to use file sharing or don't want to interrupt your Internet connection, you should not manually put the computer to sleep, and you should drag the "Computer sleep" slider to Never.'

http://support.apple.com/kb/HT2412

You're already in the right place. In Energy Saver press, set the sleep time to Never.

Perhaps a more convenient option is to use the free app Wimoweh. You can set it to never sleep only while certain apps are running. http://www.serialangels.co.uk/index.php/wimoweh/