The transfer window in IE will show the transfer rate. Download manager software mentioned above will allow you to decrease or limit the transfer rate for better bandwidth management. I like a product called
GetRight. I can download large files at work with different rates for different times without saturating the Internet connection and affecting other users. There is no solution for significantly increasing the transfer rate save getting a higher bandwidth Internet connection, downloading from a different site with a larger pipe, or transferring from multiple sites with a download manager.