It is also possible to do in IE. Some sources claim that the below settings won't work in XP SP2 and above, but the original KB article at MS doesn't mention these restrictions.
Code:
To increase the limit simply add the following registry values to
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
Value name: MaxConnectionsPer1_0Server
Value data: 10
Base: Decimal
Value Name: MaxConnectionsPerServer
Value data: 10
Base: Decimal