Internet speeds???

Because the server you're downloading from has it's own upload bandwidth limits.
 
Part of the issue is detailed in your post. "... why if I have 20-25Mbs ..." - Mbs = Megabits per second. "... download a program to run 40.8MB ..." - MB = Megabytes. It takes 8 bits to equal a Byte so you can't expect a 40MB file to download in 2 seconds with a connection that has a 25Mbs download speed. There's also some additional bits of overhead added here and there for error checking and such.

The server you are downloading from may also have limits set, could be overtaxed or could simply be a slow server. I personally have run into servers that I'd swear are actually an old 386 box using a 1200 baud modem to connect to the internet.
 
If you're looking for those speeds where it's downloaded by the time you lift your finger off the ENTER key, I would suggest getting top tier fiber optic service. Even then it's gonna take more than a couple of seconds.
 
theoretically the speed of 20Mbs is about 2.5M per second. But there are many factors having influence on the internet speed, like the cable material, distance, and so on.
 
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