Set your downlds LW menu Tools>Options>Saving & set incomplete files for 999 days & press Apply button.

Make sure LW is fully closed before you shutdown your comp. This might mean going to task manager (ctrl+alt+del) to find if they're still open, if yes then force it to close.

It might be an idea to backup your downld prefs once or 3 times a week if it happens regularly. Your incomplete downlds prefs are called download.dat & bak & found inside your incomplete folder. Don't attempt to re-add these prefs whilst LW is open!!!!