When I click on the third download, the site does not respond to it until the first file is finished downloading. This is a problem if the first two files are large.

Well, whether it's a problem depends what the goal is -- in theory, if your goal is to finish all three downloads as soon as possible, it should be quicker to download them consecutively than concurrently, on the basis that, wherever the bottleneck is on your route to the origin server, the various TCP streams are going to be contending over it and not comparing notes. A smaller number (2) of TCP streams should in theory contend less and fill the pipe better. Now, I'm not saying this actually happens in practice -- but if it doesn't, it'd be interesting to know why not...

Peter