Time out error when copying a large file from a remote server to my hard drive

I VPN into work and then from there occasionally remote into a network server. I can easily copy files back and forth from the remote server to my local directory on my laptop. This works great for most files, however right now I have a file which is very large. When I try to copy that file from the network server to my local drive, I am informed that the approximate time to copy the file is two hours long. Well the file never copies, because after about 30 minutes the connection seems to time out, and the file is not copied. Our server currently is not set up for ftp file transfer, so I am wondering how I can copy the file over. Does anyone have any ideas? A