I'm trying this out now, seems like it works quite well. Play with the different values. I'm using 20 and 15 respectively on my Treo 700wx.
You'll usually need to
create these DWORD keys as they are probably not in the registry already (so don't post saying you don' t have these reg entries!)
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From:
HTC Wizard Web
One of the most common and effective tweaks for web browsers on the desktop is also possible for IE on WM5. Stored in the registry are two keys which tell Internet Explorer how many connections it should make to a server when downloading a web page. They define the "Maximum number of concurrent connections" and they're just itching for a tune-up.
Details after the jump...
By changing the following key:
HKCU/Software/Microsoft/Internet Explorer/Main/MaxRequestThreads = 5
to a value higher than the default (5) will enable greater bandwidth saturation during page download and a noticable improvement in page load time. I took a guess and raised the MaxThreads to 10 and have had no problems (thus far).
[
Update] Also, you will want to add the dword value:
HKCU/Software/Microsoft/Internet Explorer/Main/MaxConnectionsPerServer
and set it to the same value as you choose for MaxRequestThreads.
But, obviously, nothing is free in life. Here's the hitch: threads use memory. No matter what value you raise the the MaxThreads to, you're going to be using some amount more memory than you were before. It's a tradeoff. So don't go crazy and set that value to 200 and complain when starting IE causes your phone to burst into flames. (I hereby renounce any liability resulting from injuries that may occur to phone or owner during this tweak 
It would be useful for someone to quantify the speed and memory usage at various values, so that an optimal value can be found. But I guess that's a personal preference where you want to be in the memory-speed tradeoff.
And on an unrelated note, the following key:
HKCU/Software/Microsoft/Internet Explorer/Main/FavoritesEntries
contains all the read-only IE favorites that came with your phone. I was finally able to delete that pesky Cingular bookmark by changing ReadOnly to 0 in the bookmark's subkey.