The HTTP protocol is not that efficient.  It sits on top of TCP/IP which has
a good bit of effort involved with acknowledging the receipt of packets.  In
addition, HTTP itself has some work to do at the protocol level, before your
app even takes over.  Therefore, assuming your app is extremely efficient,
the retrieval of a page will not be.  You are also gated by the efficiency
of the system serving the pages.  This is why IE will spawn as many as 20
threads to retrieve all of the resources indicated in a web page, and will
begin before it even completes the download of the current page.

If you are running out at two threads, make sure that you aren't in a
situation where two threads are competing for the same resources.