According to RFC 2068:
"Clients that use persistent connections SHOULD limit the number of
simultaneous connections that they maintain to a given server. A
single-user client SHOULD maintain AT MOST 2 connections with any
server or proxy. A proxy SHOULD use up to 2*N connections to another
server or proxy, where N is the number of simultaneously active
users. These guidelines are intended to improve HTTP response times
and avoid congestion of the Internet or other networks."
Windows certainly enforces this limit across the operating system, but you can fix that changing the registry keys located at:
My Computer\HKEY_USERS(current user sid)\Software\Microsoft\Windows\CurrentVersion\Internet Setting\
The keys to change are:
MaxConnectionsPer1_0Server
MaxConnectionsPerServer
You can set them to values above their default to increase the Windows limitation. That's OS specific though and may still be limited by the browser, though as Anthony points out you can get around the browser all together using the new networking stack in SL3.
I think it's good to play nice with the RFC spec (I'm sure there was a good reason for it) and keep your number of simultaneous connections limited to 2 per server. If you need more then maybe you can look for a protocol other than HTTP that would better suit your needs.