More than likely they will tell you to either get a better connection or to try downloading again. You could still ask them and see what their policy is, it may be if you have proof of purchase (I.e. a receipt) they might be able to send a hard copy.
Does the company send you a CD if you cannot download whatever it is? (Program/book/movie/video game). Not everyone has a worthwhile internet connection.
A lot of them sell both, so you can order a physical copy. This is the case with most major game titles, studio movies, and books published by one of the Big Five. You can buy either the physical retail copy or the digital download. Rarely both, and they usually differ.
Independent stuff, indie games, self-published books, small book publishers, indie movies, and most programs are very often never physically published. If they don't explicitly say they sell a physical copy, then it's likely that one doesn't exist.