I would imagine it would be better to have it say "HTTP (faster)" and "UDP (slower)", and perhaps a bit about why UDP is there in the download prompt's text.
This minimizes confusion about speed, method, and reason.
The word "Website" makes most people think that the game would close, a website would open, and they would download on their own.
HTTP tells you exactly how, and if someone (for some reason) doesn't know what HTTP is, they can just see the (faster) and decide which one they want.