Just some food for thought.....
Check to make sure that windows firewall is off. You can do this from the control panel.
Check your "windows automatic updates". If this is on, it will attempt to check for updates and/or download and install them in the background when you are online (specially bad if you have dialup).
If you are on a modem (dial up) then you may not get much more than your current download speeds. The only way to speed that up is to switch to a faster ISP.
If you are on something faster than dial up, then I believe that I've read somewhere in these forums that some ISP providers will have a firewall built into their service to you as a "curtosey". This may be causing the problem....unfortunately, I'm not sure how to fix this (assuming this is the problem). You could call your ISP and find out.
If you are sharing files, then whomever is downloading them might be sucking up some of your bandwith. Also, if you have programs set to "check for updates when a connection to the internet is detected", than this will also suck up some bandwith. You might want to go through and check your programs to make sure that messangers, media players, etc. aren't checking for updates when you connect to the internet.
Also, you can only download as fast as the servers connection is. If you're downloading from a server (person) with a dial up connection, than that will limit your speeds.
Most typically, your upload speeds are faster than your download speeds. You can check your upload/download speeds HERE
Also, what kind of internet connection do you have (cable, dialup, dsl etc.)? And have you run all the spyware/malware programs to keep your computer clean? Downloading things from P2P programs are notorious for having malware, which will slow your comptuer down.
Not sure if any of this is the cause of your problem, but it's where I'd start to check/look if it were me!
Hope this helps!