kill synchronous call to webservice webmethod

My client (consumer) application is making a call to a webservice that in turn downloads a file back to the consumer. This file transfer can take a long time and i want to provide the user a way to exit the applciation while the synchronous call to the webmethod is still processing.

Everything I am reading seems to point to the fact that this might not be possible as the web is stateless and thus will continue its webmethod until it has completed. At which point it will return back to the client regardless if the client is still alive.

I invoke all of my webmethods from my client in a work thread, so this allows the user to interact with the UI even while the webmethod is busy. Sometimes the user might click "Close" and I want to make sure that I clean up any pending web operations.

Is this even possible?

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