I forgot that FAT32 cannot handle very large file correctly, so I found that FlashGet could not finish downloading the last few KBs of a DVD image. Thank God ISO format is similar to ZIP or RAR, so you can still access valid parts. Next time, I should use an NTFS partition to save the file.
Why I still use FAT32? I was about to install dual boot Linux with Windows Vista. However, it seems that if I did install Linux, my notebook support from the vendor will be terminated. So, using VMware Player solves the issue. The only thing I am now regretted is that I forgot to format all partitions from FAT32 to NTFS after install VMware Player.