Actually, if you change the MTU size, and your download speed increases, then you should set your modem to connect at a lower speed and push your MTU size back up. If your MTU size changes your download speed, then you are receiving errors when transmitting or receiving. Lowering your speed by a few hundred bits per second should eliminate the errors and stop making you retransmit.
But sastowers is on the right track, the reason that you can download 2 files at a combined rate of 3.4k, and a single file at a lower throughput has to do with the guaranteed transmission of TCP. For every packet that is received, a response must be sent back to the server with the ACK flag set. Only a small number of packets will be sent before the server will stop, waiting for ACKs. The ACKs are relatively small, but you must receive an entire packet (about 1K usually over dailup), and verify its checksum. If it is good, then you will send an ACK for that packet. In the mean time, the server has sent all of the packets that it can cache for your connection, so it is waiting. When it recieves this ACK, it dumps that packet out of its cache and sends another packet.
You can see that this round trip time leaves your connection idle for a short period of time. If you have 2 connections up, then you can fill some of that idle time (probably close to all of it) with an incoming packet from another server or unique socket.
That is why your aggregate speed for two connections is faster than the maximum speed of any individual connection.
pansophic