Check this regkey:
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings]
and make sure these are set to:
"MaxConnectionsPerServer"=dword:00000005
"MaxConnectionsPer1_0Server"=dword:0000000a
That is now many simultaneous uploads and downloads you can have, sometimes when these values are set too high your problem happens. That is a value of 10 for dl and 5 for ul, unless your cennection is screaming it shouldn't be set higher. XP's defaults are 4 and 2.
Another thing; this was a common problem when IE6 SP1 came out, but it seems to of disappeared, for me atleast.