By default Internet Explorer limits the number of concurrent downloads to two. This limitation make sense with a modem connection but not so much if you have a broadband connection. If you want to increase the number of concurrent downloads this can easily be achieved through a Registry hack.
Start the Registry Editor (go to Start, Run and type Regedt32). Find the key HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings. Create a new REG_DWORD value of MaxConnectionsPerServer then create yet another REG_DWORD value of MaxConnectionsPer1_0Server. Set both values to the number of concurrent downloads you want to be able to do. A number higher than 8 is not recommended.
Restart your system for this change to take effect.
Update: There is a "Fix-It" article available for this now, where you can just click on the button and script will fix it for you. http://support.microsoft.com/kb/282402#