"Clients that use persistent connections SHOULD limit the number of
simultaneous connections that they maintain to a given server. A
single-user client SHOULD NOT maintain more than 2 connections with
any server or proxy. A proxy SHOULD use up to 2*N connections to
another server or proxy, where N is the number of simultaneously
active users. These guidelines are intended to improve HTTP response
times and avoid congestion."
You have the same behavior when trying to download more than 2 files from one web server (domain) with the same browser instance. If you open a new browser (i.e. process iexplore.exe) you will have again 2 connections. This is the reason why you have a maximum of 2 AJAX calls at the same time to one domain.
See RFC 2616 (http://www.faqs.org/rfcs/rfc2616.html).
For IE you can change this, but it is then a non-standard browser:
http://support.microsoft.com/kb/183110
Discuss with others at Google Ajax.NET Professional Group!