There have been a couple of posts relating to Webclient being slow if there is a default proxy instance. MSDN Social has same details on this. There are several things to do to make this faster, including using Asyncronous connections, threads and if you really need the performance writing the socket code yourself. There are some libraries on the market which claim to provide boosts above the default framework libraries, they may be of benefit if you are willing to pay extra for them.
I have a few programs which use Webrequest (not native webclient) and I see throughputs in the near MB/s range with resources in the 10-20MB range coming from half way around the world. So it is definitely possible with the framework natively.