Assuming the server supports more than 2 connections, you can change the connection limit with InternetSetOption on the NULL handle with the following options
INTERNET_OPTION_MAX_CONNS_PER_SERVER INTERNET_OPTION_MAX_CONNS_PER_1_0_SERVER
Then add your exe name to FEATURE_MAXCONNECTIONSPERSERVER and FEATURE_MAXCONNECTIONSPER1_0SERVER IE feature controls in registry if your users have IE8+.