The things have been changed for IE8, it doesn't matter you are using it on Windows Vista or Windows 7.
For Internet Explorer 8: - Run Registry Editor and navigate to following key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\MAIN\FeatureControl\FEATURE_MAXCONNECTION SPERSERVER
and
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\MAIN\FeatureControl\FEATURE_MAXCONNECTION SPER1_0SERVER
If FEATURE_MAXCONNECTIONSPERSERVER and FEATURE_MAXCONNECTIONSPER1_0SERVER are missing... Create them. - Now create DWORD Value called iexplore.exe for both sub keys (listed above) and set its value to 10 or as desired.