I've seen plenty of sites that will ban you using scripts for having multiple connections.
Also, many sites will only allow two simultaneous connections (as evidenced by only having two downloads at a time and the third timing out and leaving you unable to browse the site). Having IE attempt to download so much at once will sometimes caouse page elements to start timing out because the server is configured to refuse the connection. Not sure if IE is smart enough to retry that because it sure doesn't when file downloads are involved.