The problems with downloads initiated from within a game (like the Halo 3 demo from Crackdown) is that it wont let you exit the download screen without cancelling the download. Here is the way around it:
- Start the download from within the game.
- Exit the download.
- Go back to the dashboard.
- Go to the Marketplace blade.
- Go to Account Management.
- Go to Download History.
- The download should be listed, select it and choose to Download Again.
- Do other stuff while it downloads.
There you have it. Background downloads FTW.