Only for the Doctor, who can start the download before you ask for it... :-)
That said, tongue in cheek, it would be theoretical possible to anticipate what you are going to ask for, based upon your history and current dialog with the system, and download that in the background, to be deleted if you terminated your session without actually asking for it. So, if your were to ask for it while still in session, then it will either already exist on your system, ready to move to your desired directory, or the download will be in progress, greatly speeding up the process. The rules and algorithms to determine this are EXTREMELY advanced mathematically - the sort of stuff that people with PhD's in predictive analytics might work on.
I am sorry I only understood the last 3 sentences,
Is it possible to download something instantly to your computer, is it that hard to diseminate?
I hate having to downloading video games and such on my computer and others is there any approach or theories to do it instantly?
The short answer is, NO. Nothing is instantaneous. My point was that if you can determine what is, to a high probability, to be requested, then you can download it before it is requested, resulting in an apparent instant transfer.