Your download speed depends on your speed,the host's speed, how many slots the host(s) have open, how many hosts you're downloading from etc etc.
What happens when you download other file types (eg audio)? Is your speed slow then, too?
Do you see the firewall icon (brick wall in front of the blue globe)?
How many green connection bars do you see?
Who is your ISP?

Try downloading a file from here & see what speed you get
http://www.magnetmix.com/video.shtml

Check the thread below for tips about optimising LW's performance
Configuring LW for best performance