You likely need to delete the existing 40GB and restart the download to the new destination.
This depends somewhat on what tool (e.g. browser) you are using for the download, but that tool is likely to fail downloading to the new file in the new destination.
Moving the 40GB is just the first of several problems, but that can be solved by first moving or deleting some smaller files (and empty the Recycle Bin!). Windows just needs some "elbow room" on the disk, probably only a few MB.
The bigger issue is telling the download tool where the new file is; there are ways that you might manage this (symlinks, extending the filesystem volume), but the download tool could still choke on the changes.
Unless you are downloading this over dial-up, your best option is probably to start over. You have less than half of the file downloaded, and you may end up wasting the download time to get the remainder.