HeresMyAccount: Really? It seemed to me like it grouped all the main game data files into a single file and downloaded, or grouped the extras into a single file and downloaded that (although when it appeared on my hard drive it was separate files), but I never had multiple concurrent connections - that is, I tried to download installers for multiple games, but no dice.
It does use multiple connections, to download multiple parts of the same file at the same time. Each file is split up into chunks of 10 or 15 MB each (I don't remember which) and several of these chunks can be downloaded at the same time. The downloader still displays it as a single file being downloaded (and, if I remember correctly, displays the installer as a single entry despite some Windows installers being split up to several files).