It might be because you are downloading from the same host. Some people have uploads per person set low, and some people have a low number of upload slots, and then there's also the scenario where even if they do have more upload slots, they are busy at the time with uploading to others (this latter scenario is a high possibility for the reason.)

My general advice would be not to download more than 2-3 files per host at one time. To find out if it is same host, try browsing them.

In LW 4 it was possible to use a Priority list, queueing them in a particular order. This option is not available in LW 5 yet.