Loading files in background

Here is my problem! I have a script, which download a files via WWW from game server! It could be 5 Mb or more, and there could be 6 - 10 files like this! So, to download all this files from server, it will take a time! My question is how to run script, which is downloading this files, between scenes (in background) to make user go through scenes without interrupt downloading in background?

just create a new GameObject that has the download script on it and add the following function to the script:

function Awake()
{
 DontDestroyOnLoad(gameObject);
}

The following is a good example of what you need taken from this thread.

float progress = 0.0f;
void IEnumerator Start() {
    WWW myW = new WWW( url );
    while( !myW.isDone )
    {
        progress = myW.progress;
        yield return null;
    }
    progress = 1.0f;
}

That example has progress which is cool