Normally you can only get two downloads from any one site happening at a time. But it can be overridden. I know, I know, you’re not actually meant to do this, as it breaks some HTTP standard or other. But occasionally it’s warranted… umm, if you’re talking to your own web server. Yeah.
Firefox: In about:config, go to network.http.max-persistent-connections-per-server
IE 4+: Get in the registry and alter HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
— MaxConnectionsPerServer for HTTP 1.1
— MaxConnectionsPer1_0Server for HTTP 1.0
Apparently you can’t change it in Safari. (Anybody know better?)