Registry Settings to configure IE to download more than a file.

For IE 7:

1. Open Registry Editor.
2. Go to the location:
     HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
3. Create a new DWORD value:  "MaxConnectionsPer1_0Server"
4. Give the value as 10 (decimal).

For IE8 & above:

1. Open Registry Editor.
2. Go to the location:
    HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\MAIN\FeatureControl\FEATURE_MAXCONNECTIONSPERSERVER,
3. Create a new DWORD value:  " iexplore.exe"
4. Give the value as 10 (decimal).
5. Go to the location:
    HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\MAIN\FeatureControl\FEATURE_MAXCONNECTIONSPER1_0SERVER
6. Create a new DWORD value: " iexplore.exe"
7. Give the value as 10 (decimal).
8. Close Regedit.

Through Group Policy:
1. Open gpedit.msc.
2. Navigate to "User Configuration\Administrative Templates\Windows Components\Internet Explorer\Security Features\AJAX.
3. Change the settings of Maximum number of connections per server (HTTP 1.0) and Maximum number of connections per server (HTTP 1.1) as per your requirement.