This dialog allows you to change the number of allowed simultaneous internet connections that MS based web applications allow us. For Internet Explorer and wininet based applications, this is normally only two (IE. A maximum of 2 simultaneous connections are allowed to a particular server).
Example: Go to a web site and start three downloads at once using Internet Explorer. The third will not open until one of the first two have completed downloading. MS have done this because they are following the HTTP 1.1 specification and industry guide-lines.
For the full story see MS web article Q183110:
http://support.microsoft.com/support/kb/articles/q183/1/10.asp