Ever noticed that on a default installation of Internet Explorer that you can only have two concurrent downloads?
According to the Microsoft Knowledge Base Article 183110, this is to maintain compliance with HTTP specifications.
WinInet limits the number of simultaneous connections that it makes to a single HTTP server. If you exceed this limit, the requests block until one of the current connections has completed. This is by design and is in agreement with the HTTP specification and industry standards.
The KB gives you steps you can take to increase the number of concurrent downloads (connections). This involves editing the registry, so be cautious.