You are looking for a "download manager", that's some kind of program that starts multiples connection at once and that hope to boost your global download speed through threading. This is not a solution in your case.
It may depends a lot on your internet connection, and the site your reach. Maybe you are trying to reach data from a very distant server with a poor peering support (say download data from easter islands while your in US east coast). Maybe your computer is spoiled by trojans or zombie process, maybe your wifi connection is hijack by your neighbours.
There are tons of reasons for a bad connection, you need to be a little more specific for us to help you.