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