How do you add stitches at the end of a row?

Hello all i have a RDP with high performance with 1 Gigabit internet Connexion i download big games or anything like largest files very fast,My question is how to take advantage of these games because I want to transfer them to my device but could not because when i try to transfer them from RDP to my computer the transfer become very very slow,my question is there any solution or a software or website for download files from RDP with high speed download or transfer the files very fast to my computer.