Why (and how) IE is restricted in simultaneous downloads is described in the knowledge base.

“WinInet limits connections to a single HTTP 1.0 server to four simultaneous connections. Connections to a single HTTP 1.1 server are limited to two simultaneous connections. The HTTP 1.1 specification (RFC2616) mandates the two-connection limit. The four-connection limit for HTTP 1.0 is a self-imposed restriction that coincides with the standard that is used by a number of popular Web browsers.”