If the site is busy, it is trying to serve a lot of people at the same time and is running low on either resources or bandwidth. There is not much you can do about this type of slowdown other than wait it out or wait till another time to download. This can help stop most packet fragmentation errors that will slow downloads. Windows will not tell you that packet fragmentation is happening so there is no easy way to know. I put together a little program to help edit the Win95 MTU settings.
Modems can cause slowdowns also.
If you have a bad connection it is going to be slow no matter what you do. If you are having a hard time downloading something and want to see if it is your connection, try downloading something from our local FTP site. If it is still slower than normal, try reconnecting. When you reconnect, you may find the problem is gone. If not, it may be a bad phone line.