I have done some testing before posting, so let me set this up:
2006 MacBookPro: originally came with Tiger, now updated to Leopard; my work machine
2009 MacBook: just purchased and not yet used; intended for the assistant to the president of the college... needs to work as promised

When I first got 2006 MacBookPro, it downloaded files just fine, and the Software Update worked flawlessly. After I upgraded (full reinstall) to Leopard, Software Update would time out often, and about half of the downloads I tried to do would start appropriately and then just stop about 10"% in and time out, ... but only at work. When I brought the machine home, I could update it just fine on my home LAN.

Eventually, I bought and installed Parallels, and when I could not download on Leopard, I would boot up my WindowsXP VM and I download without problems the very same file from the very same link with no problem on the work network, so at work I use my XP VM to download things like the Mac OS X updates and new versions of iTunes, etc.

2009 MacBook just arrived, so it is fresh and clean, and it does not have anything installed on it. I opened the box at work, plugged it in, did the setup thing with the soundtrack playing, and then tried to do Software Update, and it timed out. I tried to download Firefox, and it timed out. So I just brought it home with me today, and I was able to do Software Update and download Firefox with no trouble at all.

I don't think it is just the network at work because we have about about:
- 30 Panther 10.3 Macs
- 30 Tiger 10.4 Macs
- 80 WindowsXP machines
- 4 Windows XP VMs (on Parallels running on Leopard)
- 4 Leopard Macs

Only the Leopard Macs are having problems, and they only have problems at work. When I or the owner brings them home, the Software Update and downloading go just fine.

I have asked this as a question on experts-exchange.com, and I posted it at macosxhints.