The Accepted answer might be good for 2014 but in today scenario, most of the people are on an multi core architecture which supports parallel thread execution.
The downloading takes two to process and if indeed your internet speed is the limiting factor, no one can help you but there are scenarios where this multi process downloading helps you-
In fact, it might be possible or a great product if a download manager supports proxy setup to download a single resources in multiple segments from different IP addresses.