How to stop a download depends on the setting for "Run slideshow when downloading".
If "Run slideshow when downloading" is turned on then the Download button changes to a Stop button when a download is started. To stop the download, click the Stop button.
If "Run slideshow when downloading" is turned off then the download has to be stopped from the Download Manager. The Download button cannot change into a Stop button in this case because the Download button can be used to start multiple downloads in the background.