When making these changes you will be breaking the HTTP 1.1 specification, and there are rumors that it will cause broken downloads, but those rumors are not true. But in any case make a backup of your current settings before adding these so you can rollback if something bad should happen.
[HKEY_CURRENT_USER \Software \Microsoft \Windows \CurrentVersion \Internet Settings]
If you don't want to play with your registry then you can also break the limit by launching several IE's (not with CTRL-N(new) ) but with running iexplore several times. For each iexplore you are allowed to do 2 downloads simultaneously.
More info MS KB183110