Why can I only download two Http files at a time

Hello there.. I know this is something easy, nothing major but it bugs me that I don’t know the answer.

When I am downloading from the web, lets say a motherboard site (any site will do it) and there is a list of downloads, I would like to go in order one by one and download the files. I would like to do as many as my connection can handle, but when I hit number 3, the browser doesn’t respond or prompt me to save the file until one of the two other downloads are complete…
I would like to download more than three files at the same time but it will not.

Is there a reg hack for this? Is it an Internet Explorer thing? I have beat my head on the wall trying to figure this out..

It has nothing to do with the system or the site, I have repeated this behavour on many different systems running Windows and IE..

Thank You…