I guess you are using Phex.

There is a way you can continue downloads that are no longer in your download list, but it´s a rather "unsafe" solution:

1. Search for the file in the gnutella network again
2. add it to the download list
3. go to the downloads panel and stop the download
4. overwrite the empty download file with you partially downloaded file (don´t forget the .dl extension)
5. resume the download

Phex will now recognize the partial download and append the download to it

However, if there is a difference between the file you attempt to download and the old file the download will be corrupted and there is now way to find out until you check this manually.