http://www.tweakvista.com/Article39100.aspx

Internet Explorer 7 only allows you to download two files from the same server at a time.  This is not a software limit but rather a limit imposed based on the web standard. Since this is simply a software setting, it can be modified and you can increase the limit to something much high such as 10.  Follow the steps below to increase your max downloads from the same server:

1. Click on the Start Button and type in Regedit.
2. When Registry Editor loads navigate through HKEY_CURRENT_USER, Software, Microsoft, Windows, CurrentVersion and Internet Settings.
3. Right click on MaxConnectionsPerServer and select Modify. Set the decimal value to something greater than 2.
4. Right click on MaxConnectionsPer1_0Server and select Modify. Set the decimal value to something greater than 2.
5. Reboot.