clients couldn't download more than one files at same time,
when client click download link while he already downloading a file this links not opened until first file downloaded.
I need to execced it to 3-4 files at same time.
Most browsers only allow 2 simultanious connections to the same server (as per the HTP1.1 spec) unless specifically tweaked by the user, so you won't get 3-4 concurrent downloads without some registry jiggery-pokery (or similar) at the client's end.
You can fake it by having multiple (sub)domains pointing at the same resources - the browser will see www1.example.com, www2.example.com and www3.example.com as different servers even though they phisically aren't.
Also, it could be your server or a proxy server at the client's ISP that is blocking the 2nd download until the first is complete, rather than their browser. To check this try your test from two completely seperate instaces of Internet Explorer (i.e. start each with start/run/iexplore, not by using file/newwindow). If you get the same result then the problem is not the browser so is at your end or somewhere in between.
(note: the multiple process suggestion above won't work with FireFox as it always maintains only one process no matter how you lauch it)
I can't see the sence to download 3-4 files at the same time, traffic speed decreases!
Depending on traffic shaping used by the client's ISP and all the hops between them and the server, using multiple concurrent http streams can result in a faster data rate overall then a single stream.
There is also the human factor of wanting to set several things downloading at once and not needing to touch anythng until all the downloads are complete, though in that case you should be using some sort of download manager to queue the requests.
Being able to have two requests on the go is often useful on websites. For instance you can have a long download going in the background while you can still browse around the site. Also for sequences of small requests (such as loading lots of small images for a web page) multiple connections reduces the slowing effect of request latency.