In order to download, your computer must keep the following devices "awake" and for the following reasons:
1) Your CPU, because instructions to the CPU still occur during downloading
2) Your RAM, because if the CPU is "awake" and processing instructions, so must be the RAM
3) Your hard drive, because the system needs somewhere to write the data that's been downloaded
"Sleep" is defined as turning off, or putting into a low-power mode, the following computer parts:
1) CPU
2) RAM
3) Hard drive
4) Display
So, you can see, "sleep" can be defined as a state where nothing is occurring. "Downloading," by definition, means something is occurring.
A "sleeping download," as others have stated here, is an oxymoron. The best you can do is put the display to sleep, but that's it. If you want the computer to be doing something... anything... it cannot be "sleeping."