There are several ways.
The best way is to obtain a download manager like GetRight, that's how I do it.
There are also registry hacks to allow more simultaneous downloads. Check at
SpeedGuide, they have lots of info.
Here's a small .REG file that you can run to increase the number of connections for IE6. Paste this into a text file with the extension of .REG and double-click on it, it does the trick.
CAUTION! This is for Windows 2000, I have no idea what it would do to other O/S versions!
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Windows Registry Editor Version 5.00
[HKEY_USERS\.DEFAULT\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
"MaxConnectionsPerServer"=dword:00000020
"MaxConnectionsPer1_0Server"=dword:00000020
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
"MaxConnectionsPerServer"=dword:00000020
"MaxConnectionsPer1_0Server"=dword:00000020
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