So how big are these files you're downloading, and over what kind of connection?
A few KB or 10's of KB over broadband just isn't worth the effort - just take what you need and trash the rest until the end of the stream. Processing that isn't going to take up too much CPU time or network bandwidth.
A few MB over dialup would be another matter, if all you wanted was the head of the file.
Whilst I'm sure you can unilaterally decide to close the connection, you have to consider that this might have a negative impact on the server at the other end (say waiting for a connection to timeout after a long period rather than closing it cleanly after a short period). Consider that if you do this a lot that the site may regard this as a denial of service attack on your part.
The network is robust enough that connections can drop for random network breakages, but to exploit that for your own sense of urgency is probably not on.
I would suggest you read the RFC in detail to find out what is and is not allowed within the normal HTTP protocol.
