ericrocks,
Download speed has nothing to do (at very insignificant rates, to be precise) with CPUs to begin with.
First of all you should know what your practical maximum download speed can be. I'm not very well informed with how infrastructure goes all around the world, but for instance, in Turkey, if you subscribe for a 1Mbit connection, your max. download speed can approximately hit 110-120 kb/sec, no more. So you should see if you're already reaching the download speed cap your connection allows or not, first.
If not, then there are several things that could be done:
For HTTP downloads (e.g. http://www.download.com/blabla.zip) -those that you download directly from webpage links, the world of internet is full of download managers which utilize the connection speed to its fullest by making simultaneous connections for the file being downloaded. I'm a definite fan of Internet Download Manager when it comes to this. However since it's a trialware, I can suggest you going for Orbit Downloader or FlashGet which are both freewares (FlashGet is ad-supported, IIRC).
If you refer to low speeds when it comes to peer-to-peer sharing -Torrents, Emule, Gnutella network, UseNet and the likes- there are network-specific optimizations that could be done which are generally about configuring your ports accurately.
Remember: We have a strict code for the copyright infringements in The Org, so I have to warn about such chatter to be avoided in any means regarding the fact that peer-to-peer sharing is largely being used for illegal file-sharing.
Hope that helps.
Bookmarks