OK i got this from winxpnews. Obviously, only applied to XP users though you can try in other windows.
First of all go to file and click export and save your registry somewhere.
The steps are as follow:
Click Start | Run and type regedit to open the Registry Editor.
Navigate to HKEY CURRENT USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
In the right pane, click an empty space and select New and then DWORD value.
Name the new value MaxConnectionsPer1_0Server
Right click the new value and select Modify.
Under Base, select Decimal.
In the Value data field, type the number of simultaneous connections you want to allow.
Click OK.
Repeat steps 3-8, this time creating a value called MaxConnectionsPerServer.
Close the Registry Editor.
Now you will be able to run more downloads at a time