Concurrent downloads

Every so often I have to download several files from a website onto a windows 2000 server. I have the download applet set to close after downloading file, so I would like to be able to set all files loading and walk away from the machine.

The problem is that I can only get 2 files at a time regardless of file size. If I select a third, it just seems to queue until another has finished.

Is there anything I can change on the machine to get all files at once or is it a setting within the website?

Thanks

 

Thanks