I know it's an old story, but every time I need it I have to go and search for this information, so I'm posting it here for later reference.
For a reason I don't know (and don't really care), Windows limits the number of concurrent Internet connection available (with XP I think you get 2 concurrent connections in HTTP 1.0 and 4 in HTTP 1.1).
With contemporary computers and the bandwidths of these days, this limitation is archaic to say the least.
So, if you need to be able to handle more simultaneous connections, you just need to add two entries to the registry. To simplify it, just copy the following lines to a file with a .reg extension and then double-click it. It will change the configuration to allow 50 simultaneous connections ;-)
Windows Registry Editor Version 5.00