Is downloading multiple files faster than downloading one file at a time?

It depends on what the rate-limiting factor is. Most of the time, the end-user's Internet bandwidth is the limiting factor, and then it doesn't matter. But if, for example, the limiting factor is competing with other traffic, then more streams will tend to get a larger share of that traffic. If the limiting factor is packet loss, then more streams may be a bit more resistant (as a drop on one stream won't affect traffic on the others).