If you have an XP machine at home, you could use remote desktop from your laptop to your home machine, download to the home machine, and then copy/paste to the laptop. This will double your download times, though.

The other possibility is to set up a proxy server at home. This would do the same thing the anonymous proxies do, but shouldn't slow you down as much because your server won't be as overloaded.

Anyone downloading torrents of movies should be careful. The MPAA is suing people whose IP addresses are in torrent tracker logs.