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When we are downloading a web site which has  Text, JPEG files, GIF files, Audio Files, Video Files.... which of these get loaded first? Are all of them will get loaded simultaneously? Or else Will they get loaded one by one? If YES to one of these questions tell me WHY?
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If you start several download operations at different windows (i.e.: you open several browser instances at the same time and you start a download from each one), all files are got together, this is, the information corresponding to all files comes in a "parallel" fashion.

In fact, if all files would have the same size, you will receive the "Download complete" advise simultaneously for all files.

On the other hand, by using packages like GetRight (or alike), you can download them in a "serial" fashion, this is, one file starts after the previous one completed.

Some things, related to bandwidth, communication speed, and a lot of other considerations, let you get files faster when they are got "in parallel"; but, of course, within certain limits.

You ask why; that's so simply because it was designed that way. The protocole used in communications let you choose the way best suitable for your needs, depending on your software, your hardware and, as said, several other things (i.e.: speed of servers, quality of your ISP's service, etc.).

It depends
The first thing that the browser do when YOu access a URL is to get the header of the file. JPG or HTML
If it HTML file, the browser downloads the beginning of the file and starts to download the pictures, sounds simultaneously then goes down the HTML file and if there are other GIFS, or other files it does the same by downloading simultaneously.
If you are using a offline browser everything is limited to serial download one by one :)

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