Yes I'm afraid that when your client closes like that you have to start all over again

Ok, just kidding.

I don't know what client you are using (although it sounds like BitTornado or the official client), but basically, when you start it up again you have to tell it to save the downloaded data in the folder you were saving it to when it crashed. And you don't have to download the .torrent file again. You can save those files so that you can open your client again.

EDIT: Ted you damn lurker, you ruined my joke